Finite volume element method for pricing European option

DOI10.3969/J.ISSN.1001-8395.2016.03.005MaRDI QIDQ3181001zbMATH OpenFDO

Authors Xiao-Ting Gan, Hua Yi

Publication date 6 January 2017

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-8395.2016.03.005

zbMATH Keywords

backward Euler schemeCrank-Nicolson schemeEuropean optionfinite volume element method

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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