SIAM Journal on Numerical Analysis, Vol. 27, No. 3 (Jun., 1990), pp. 704-735 (32 pages) Ordinary differential equations can be recast into a nonlinear canonical form called an S-system. Evidence for ...

In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...