A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing
| Year of publication: |
2012
|
|---|---|
| Authors: | Cen, Zhongdi ; Le, Anbo ; Xu, Aimin |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 40.2012, 1, p. 49-62
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Black–Scholes equation | Option valuation | Power penalty method | Central difference scheme | Piecewise uniform mesh |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866812