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

DOI10.1080/00207160500113082MaRDI QIDQ5312713zbMATH OpenOpenAlexFDO

Authors Man M. Chawla, D. 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 optionsBlack-Scholes equationCrank-Nicolson methodDouglas methodEuropean optionshigh-accuracy finite-difference methodsL-stable Simpson-type ruleslinear complementarity approachNumerov methodvaluation of options

Mathematics Subject Classification ID

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

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Cites work

• 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
• scientific article; zbMATH DE number 3747703 (Why is no real title available?)
• scientific article; zbMATH DE number 3605873 (Why is no real title available?)
• The pricing of options and corporate liabilities

Cited in

(13)

• Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
• Extrapolation of difference methods in option valuation
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• High-order computational methods for option valuation under multifactor models
• A Simpson-type scheme for the valuation of European and American options
• High-order exponential spline method for pricing European options
• High‐performance numerical pricing methods
• scientific article; zbMATH DE number 2104089 (Why is no real title available?)
• Spline approximation method to solve an option pricing problem
• On the acceleration of explicit finite difference methods for option pricing
• scientific article; zbMATH DE number 5583549 (Why is no real title available?)
• scientific article; zbMATH DE number 5235557 (Why is no real title available?)
• Exponential B-spline collocation method with Richardson extrapolation for generalized Black-Scholes equation

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