Constructing positive reliable numerical solution for American call options: A new front-fixing approach
نویسندگان
چکیده
منابع مشابه
Constructing positive reliable numerical solution for American call options: A new front-fixing approach
A new front-fixing transformation is applied to the Black-Scholes equationfor the American option pricing problem. A new non-linear partial differen-tial equation appears under this transformation. The transformed boundaryconditions become homogeneous. This fact simplifies the construction ofthe numerical solution and analysis of the scheme. The numerical solutionobtaine...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2016
ISSN: 0377-0427
DOI: 10.1016/j.cam.2014.09.013