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A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach

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  • Khaliq, A.Q.M.
  • Voss, D.A.
  • Kazmi, S.H.K.

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  • Khaliq, A.Q.M. & Voss, D.A. & Kazmi, S.H.K., 2006. "A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 489-502, February.
  • Handle: RePEc:eee:jbfina:v:30:y:2006:i:2:p:489-502
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    References listed on IDEAS

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    1. Nicole El Karoui & Monique Jeanblanc-Picquè & Steven E. Shreve, 1998. "Robustness of the Black and Scholes Formula," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 93-126.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. R. Kalantari & S. Shahmorad & D. Ahmadian, 2016. "The Stability Analysis of Predictor–Corrector Method in Solving American Option Pricing Model," Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 255-274, February.
    2. Minqiang Li, 2010. "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, vol. 13(1), pages 75-99, April.
    3. Khaliq, A.Q.M. & Voss, D.A. & Yousuf, M., 2007. "Pricing exotic options with L-stable Pade schemes," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3438-3461, November.
    4. Minqiang Li, 2010. "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
    5. repec:eee:apmaco:v:251:y:2015:i:c:p:363-377 is not listed on IDEAS

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