Chiarella C., Kang B., Meyer G.H. The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches

Singapore: World Scientific Publishing Company, 2014. - 450p.The early exercise opportunity of an American option makes it challenging to price. The Numerical Solution of the American Option Pricing Problem focuses on three numerical methods that have proved useful for the numerical solution of the partial differential equations with free boundary problem arising in American option pricing, namely the method of lines, the sparse grid approach and the integral transform approach. It clearly explains and demonstrates the advantages and limitations of each of them using several examples.