A Front-Fixing Implicit Finite Difference Method for the American Put Options Model
In this paper, we present an implicit finite difference method for the numerical solution of the Black–Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front-fixing approach where the option price and the early exercise boundary are...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-04-01
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| Series: | Mathematical and Computational Applications |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2297-8747/26/2/30 |