Advanced search
Publication Cover
International Journal of Computer Mathematics Volume 93, 2016 - Issue 5
Submit an article Journal homepage
133
Views
12
CrossRef citations to date
0
Altmetric
Original Articles

American option pricing problem transformed on finite interval

T.B. GyulovDepartment of Mathematics, University of Ruse, ul. Studentska 8, Ruse7017, BulgariaCorrespondence[email protected]
&
R.L. ValkovDepartment of Mathematics and Computer Science, University of Antwerp, 2000Antwerpen, Belgium
Pages 821-836 | Received 20 Oct 2013, Accepted 14 Mar 2014, Published online: 13 May 2014

Citations (12)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Hidekazu Yoshioka. (2019) A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity. Journal of Biological Dynamics 13:1, pages 148-176.
Read now

Articles from other publishers (11)

Youli Cai. (2023) Research on the Construction of Financial Computing Model Based on BSDE Algorithm. Journal of Information & Knowledge Management 22:04.
Crossref
Weiwei Wang & Xiaoping Hu. (2022) Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market. Discrete Dynamics in Nature and Society 2022, pages 1-10.
Crossref
Weiwei Wang & Xiaoping Hu. (2022) Pricing Israeli Option with Time-changed Compensation by an FFT-Based High-order Multinomial Tree in Lévy Markets. Computational Intelligence and Neuroscience 2022, pages 1-8.
Crossref
Slavi G. Georgiev & Lubin G. Vulkov. 2021. Advanced Computing in Industrial Mathematics. Advanced Computing in Industrial Mathematics 99 109 .
Xiaoping Hu, Ying Xiu & Jie Cao. (2019) Recombined multinomial tree based on saddle-point approximation and its application to Levy models options pricing. Journal of Computational and Applied Mathematics 346, pages 432-439.
Crossref
Juri Kandilarov & Lubin Vulkov. 2019. Numerical Methods and Applications. Numerical Methods and Applications 416 423 .
Tatiana P. Chernogorova, Miglena N. Koleva & Radoslav L. Valkov. (2017) A two-grid penalty method for American options. Computational and Applied Mathematics 37:3, pages 2381-2398.
Crossref
Slavi G. Georgiev & Lubin G. Vulkov. Numerical determination of the right boundary condition for regime–switching models of European options from point observations. Numerical determination of the right boundary condition for regime–switching models of European options from point observations.
Miglena N. Koleva & Lubin G. Vulkov. Finite difference approach to penalty methods for pricing two-factor American put option. Finite difference approach to penalty methods for pricing two-factor American put option.
Slavi G. Georgiev & Lubin G. Vulkov. Numerical solution of the right boundary condition inverse problem for the Black–Scholes equation. Numerical solution of the right boundary condition inverse problem for the Black–Scholes equation.
Miglena N. Koleva & Radoslav L. Valkov. 2017. Novel Methods in Computational Finance. Novel Methods in Computational Finance 215 226 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.