| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9662277 | Computers & Mathematics with Applications | 2005 | 10 Pages |
Abstract
In this paper, a highly accurate linearized method based on differential quadrature method is applied to the problem of pricing American better-of options on two assets, which is a free boundary and nonlinear problem in PDE. The present paper also efficiently treats the singularities at the initial values. Numerical results show that the method is efficient and stable.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Xionghua Wu, Wenbin Kong,