High-accuracy finite-difference methods for the valuation of options

DOI10.1080/00207160500113082zbMath1115.91324OpenAlexW2093522073MaRDI QIDQ5312713

M. M. Chawla, David J. Evans

Publication date: 25 August 2005

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160500113082

zbMATH Keywords

American optionsCrank-Nicolson methodBlack-Scholes equationEuropean optionsNumerov methodlinear complementarity approachvaluation of optionsDouglas methodhigh-accuracy finite-difference methodsL-stable Simpson-type rules

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Related Items (3)

Spline approximation method to solve an option pricing problem ⋮ High-order exponential spline method for pricing European options ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Extended double-stride \(L\)-stable methods for the numerical solution of ODEs
• Generalized trapezoidal formulas for the black–scholes equation of option pricing
• Generalized trapezoidal formulas for valuing American options

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