Title of article
A highly accurate linearized method for free boundary problems
Author/Authors
Xionghua Wu، نويسنده , , Wenbin Kong، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2005
Pages
10
From page
1241
To page
1250
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.
Keywords
Highly accurate linearized method , Differential quadrature method , American better-of options on two assets , Singularity , Free boundary
Journal title
Computers and Mathematics with Applications
Serial Year
2005
Journal title
Computers and Mathematics with Applications
Record number
920354
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