Compact finite difference method for American option pricing

By Jichao Zhao, M. Davison, Robert M Corless. 2007

129 citations recorded by the source corpus.

Subfields: Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/4e46da39e172c26a1360f6ab991f3eea91f544a7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Matthias Ehrhardt
2. Ronald E. Mickens

In Numerical Analysis

1. Ronald E. Mickens
2. Matthias Ehrhardt
3. Qamar Din

Citations in the corpus

• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008, methodology): “asset price) or the high–order compact methods proposed in [35], [36], [43].”