Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
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Updated
Aug 30, 2020 - Python
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american-option
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MA473: Computational Finance
finance partial-differential-equations black-scholes finite-element-method finite-difference-method american-option options-pricing
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Updated
Nov 26, 2021 - MATLAB
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