Numerical pricing of options using high-order compact finite difference schemes (Q932713): Difference between revisions

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-.1016/j.cam.2007.01.035
@@ Property / DOI: 10.1016/j.cam.2007.01.035 / rank @@
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+Désiré Yannick Tangman
@@ Property / author: Désiré Yannick Tangman / rank @@
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@@ Property / author @@
+Ashvin Gopaul
@@ Property / author: Ashvin Gopaul / rank @@
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@@ Property / author @@
+Muddun Bhuruth
@@ Property / author: Muddun Bhuruth / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2007.01.035
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@@ Property / OpenAlex ID @@
+W2060296485
@@ Property / OpenAlex ID: W2060296485 / rank @@
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@@ Property / cites work @@
+Classroom Note:Calculation of Weights in Finite Difference Formulas
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+On the Early Exercise Boundary of the American Put Option
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+Binomial models for option valuation - examining and improving convergence
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+Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
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+Tools for computational finance
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+Q4889209
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+Extension of high-order compact schemes to time-dependent problems
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+A fast high-order finite difference algorithm for pricing American options
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@@ Property / cites work @@
+Derivative securities and difference methods.
@@ Property / cites work: Derivative securities and difference methods. / rank @@
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@@ Property / DOI @@
+.1016/J.CAM.2007.01.035
@@ Property / DOI: 10.1016/J.CAM.2007.01.035 / rank @@
+Normal rank