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- W1567479873 abstract "This paper develops improvements to existing finite-difference methods for pricing derivatives (on single and also multiple underlying factors) which contain early-exercise features. Both fixed-grid methods (based on Projected Successive Over Relaxation) and moving-grid methods (based on boundary-fitted coordinates), are considered exploiting some prior (but limited) knowledge of the topology of the pricing in time and underlying price(s). These techniques can be quite readily applied to ensure pricing is both highly accurate and very efficient." @default.
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- W1567479873 date "2007-01-01" @default.
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- W1567479873 title "Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings" @default.
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- W1567479873 doi "https://doi.org/10.2139/ssrn.1007721" @default.
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