@Article{EAJAM-8-1, author = {}, title = {A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds}, journal = {East Asian Journal on Applied Mathematics}, year = {2018}, volume = {8}, number = {1}, pages = {126--138}, abstract = {

American put options on a zero-coupon bond problem is reformulated as a linear complementarity problem of the option value and approximated by a nonlinear partial differential equation. The equation is solved by an exponential time differencing method combined with a barycentric Legendre interpolation and the Krylov projection algorithm. Numerical examples shows the stability and good accuracy of the method.

}, issn = {2079-7370}, doi = {https://doi.org/10.4208/eajam.170516.201017a}, url = {https://global-sci.com/article/82641/a-robust-spectral-method-for-pricing-of-american-put-options-on-zero-coupon-bonds} }