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The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches

Author

Listed:
  • Carl Chiarella

    (University of Technology, Australia)

  • Boda Kang

    (University of York, UK)

  • Gunter H Meyer

    (Georgia Institute of Technology, USA)

Abstract

The Numerical Solution of the American Option Pricing Problem

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Carl Chiarella & Boda Kang & Gunter H Meyer, 2014. "The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8736, December.
    • Handle: RePEc:wsi:wsbook:8736
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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/8736
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    Citations

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    Cited by:

    1. Zhiqiang Zhou & Hongying Wu & Yuezhang Li & Caijuan Kang & You Wu, 2024. "Three-Layer Artificial Neural Network for Pricing Multi-Asset European Option," Mathematics, MDPI, vol. 12(17), pages 1-22, September.
    2. E. Alòs & F. Antonelli & A. Ramponi & S. Scarlatti, 2021. "Cva And Vulnerable Options In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-34, March.

    Book Chapters

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