Pricing American options with the Runge-Kutta-Legendre finite difference scheme

INIS

• stability 100%
• volatility 100%
• convergence 50%
• comparative evaluations 50%
• partial differential equations 50%
• hamilton-jacobi equations 50%
• polynomials 50%
• stochastic processes 50%

Mathematics

• American Option 100%
• Polynomial Representation 50%
• Convergence Order 50%
• Partial Differential Equation 50%
• Time Step 50%
• Chebyshev 50%
• Stochastic Volatility Model 50%

Economics, Econometrics and Finance

• Volatility 100%
• Options 100%
• Option Trading 100%
• Pricing 50%