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

@@ Property / DOI @@
-.1016/j.cam.2007.01.035
@@ Property / DOI: 10.1016/j.cam.2007.01.035 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2007.01.035
+Normal rank
@@ Property / OpenAlex ID @@
+W2060296485
@@ Property / OpenAlex ID: W2060296485 / rank @@
+Normal rank
@@ Property / cites work @@
+Classroom Note:Calculation of Weights in Finite Difference Formulas
+Normal rank
@@ Property / cites work @@
+On the Early Exercise Boundary of the American Put Option
+Normal rank
@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A fourth order difference method for the one-dimensional general quasilinear parabolic partial differential equation
+Normal rank
@@ Property / cites work @@
+Binomial models for option valuation - examining and improving convergence
+Normal rank
@@ Property / cites work @@
+Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
+Normal rank
@@ Property / cites work @@
+Tools for computational finance
@@ Property / cites work: Tools for computational finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q4889209
@@ Property / cites work: Q4889209 / rank @@
+Normal rank
@@ Property / cites work @@
+Extension of high-order compact schemes to time-dependent problems
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
+Normal rank
@@ Property / cites work @@
+Derivative securities and difference methods.
@@ Property / cites work: Derivative securities and difference methods. / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2007.01.035
@@ Property / DOI: 10.1016/J.CAM.2007.01.035 / rank @@
+Normal rank