A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing

Zhongdi Cen (), Anbo Le and Aimin Xu

Computational Economics, 2012, vol. 40, issue 1, 49-62

Keywords: Black–Scholes equation; Option valuation; Power penalty method; Central difference scheme; Piecewise uniform mesh; 65M06; 65M12; 65M15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10614-011-9268-9

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