The stability analysis of predictor-corrector method in solving American option pricing model
R. Kalantari, S. Shahmorad, D. Ahmadian
| Year of publication: |
February 2016
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| Authors: | Kalantari, R. ; Shahmorad, S. ; Ahmadian, D. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 47.2016, 2, p. 255-274
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| Subject: | Penalty method | American option pricing | Finite difference method | Rational approximation | Method of lines | Predictor-Corrector method | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-015-9483-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011712341