This paper presents a class of numerical methods for the approximate solution of ordinary differential equations where the derivatives depend on the history of the solution. These methods, which are ...

This is a preview. Log in through your library . Abstract This paper considers the properties of estimators based on numerical solutions to a class of economic models. In particular, the numerical ...

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 ...