Numerical Methods for Pricing American Options with Time-Fractional PDE Models
نویسندگان
چکیده
منابع مشابه
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The influence of the analytical properties of the Black-Scholes PDE formulation for American and Asian options on the quality of the numerical solution is discussed. It appears that numerical methods for PDEs are quite robust even when the mathematical formulation is not well posed.
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2016
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2016/5614950