A Front-Fixing Implicit Finite Difference Method for the American Put Options Model

In this paper, we present an implicit finite difference method for the numerical solution of Black–Scholes model American put options without dividend payments. We combine proposed by using a front-fixing approach where option price and early exercise boundary are computed simultaneously. study consistency prove stability fixing values free its first derivative. improve accuracy via mesh refinement based on Richardson’s extrapolation. Comparisons with some methods problem carried out to validate obtained results show efficiency method. Finally, posteriori error estimator, find suitable computational grid requiring that verifies prefixed tolerance.