Variable time-stepping hybrid finite difference methods for pricing binary options (Q3169247)
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scientific article; zbMATH DE number 5881875
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| English | Variable time-stepping hybrid finite difference methods for pricing binary options |
scientific article; zbMATH DE number 5881875 |
Statements
VARIABLE TIME-STEPPING HYBRID FINITE DIFFERENCE METHODS FOR PRICING BINARY OPTIONS (English)
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28 April 2011
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option pricing
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variable time steps
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hybrid finite difference method
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binary options
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American options
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0.790676474571228
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0.7450498342514038
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0.7441667318344116
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0.7403393387794495
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