About the valuation of American option under Black-Scholes model : a numerical study
In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are carried out to show the efficiency and robust...
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| Format: | Article |
| Language: | English |
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Sciendo
2023-01-01
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| Series: | Moroccan Journal of Pure and Applied Analysis |
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| Online Access: | https://doi.org/10.2478/mjpaa-2023-0005 |