{"paper":{"title":"Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.AP","math.NA"],"primary_cat":"q-fin.PR","authors_text":"Fazlollah Soleymani, Lucas J\\'odar, Rafael Company, Vera Egorova","submitted_at":"2017-01-30T11:16:48Z","abstract_excerpt":"The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed numerical scheme and underlying computational cost. Solution of a such problem is constructed by starting with a semi-discretization approach followed by a full discretization using exponential time differencing and matrix quadrature rules. To the best of our knowledge the stability of the numerical solution is treated in this paper for the first time. Analy"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1701.08545","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}