Andreas Lauschke Consulting
Convergence Acceleration with Canonical Contractions of Continued Fractions
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.
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