Nonlinear Black–Scholes equations have been increasingly attracting interest over the last
two decades, since they provide more accurate values by taking into account more realistic …

In this work we improve the algorithm of Han and Wu [SIAM J. Numer. Anal. 41 (2003), 2081–
2095] for American Options with respect to stability, accuracy and order of computational …

Laplace transform methods are used to study the valuation of American call and put options
with constant dividend yield, and to derive integral equations giving the location of the …

An American put option is a derivative financial instrument that gives its holder the right but
not the obligation to sell an underlying security at a pre‐determined price. American options …

Due to transaction costs, illiquid markets, large investors or risks from an unprotected
portfolio the assumptions in the classical Black-Scholes model become unrealistic and the …

In this work we derive an exact discrete artificial boundary condition for the Crank-Nicolson
scheme for solving the Black-Scholes equation for the valuation of American options. To …

In this thesis, we introduce high order compact methods for the Black-Scholes equation of
American call options. We compute some jump conditions depend on the free boundary. By …

Aproximação Numérica de Equações Diferenciais Parciais Não Lineares com Aplicações em
Finanças Page 1 Aproximação Numérica de Equações Diferenciais Parciais Não Lineares …

In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor
might expect from an American option if he followed one of several naıve exercise strategies …

Recently, several authors have studied maps where a function, describing the local diffusion
matrix of a diffusion process with a linear drift towards an attraction point, is mapped into the …