@Article{EAJAM-8-126,
author = {Edson Pindza and Kailash C. Patidar},
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 = {<p style="text-align: justify;">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.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.170516.201017a},
url = {http://global-sci.org/intro/article_detail/eajam/10888.html}
}