Generalized trapezoidal formulas for valuing American options (Q4831408): Difference between revisions

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Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
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Property / cites work: Generalized trapezoidal formulas for the black–scholes equation of option pricing / rank
 
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Property / cites work: A class of generalized trapezoidal formulas for the numerical integration of / rank
 
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Property / cites work: Generalized trapezoidal formulas for parabolic equations / rank
 
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Property / cites work: The Mathematics of Financial Derivatives / rank
 
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Property / cites work: Q3933378 / rank
 
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Latest revision as of 15:55, 7 June 2024

scientific article; zbMATH DE number 2123960
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English
Generalized trapezoidal formulas for valuing American options
scientific article; zbMATH DE number 2123960

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    Generalized trapezoidal formulas for valuing American options (English)
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    29 December 2004
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    Black-Scholes equation
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    Linear Complementarity Problem
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    Crank-Nicolson scheme
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