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Mathematical Problems in Engineering
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2014
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Article
/
Alg 1
/
Research Article
Algorithms of Finite Difference for Pricing American Options under Fractional Diffusion Models
Algorithm 1
Fixed point iteration at each timestep.
(1)
Let
(2)
Let
(3)
Let
(4)
For
(5)
Solve
(6)
if
(7)
Quit
(8)
end if
(9)
end for