Andreas Lauschke Consulting

Convergence Acceleration with Canonical Contractions of Continued Fractions

General Comments

These option pricing theory pages show a couple of advanced option pricing methods for American options. These include a penalty method and a very fast 100% explicit method that was developed on a rectangular grid.

Parts of this section are related to the Financial Engineering chapter in the new Mathematica Cookbook by Sal Mangano, published by O'Reilly. This website contains extensions and additional examples.

This website is powered by webMathematica.
Please visit to find out how you can empower your website with Mathematica.

webMathematica banner

Copyright (c) 2010 Andreas Lauschke Consulting. All Rights Reserved.