Generalized trapezoidal formulas for the black–scholes equation of option pricing (Q4467347)
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scientific article; zbMATH DE number 2071079
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| default for all languages | No label defined |
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| English | Generalized trapezoidal formulas for the black–scholes equation of option pricing |
scientific article; zbMATH DE number 2071079 |
Statements
Generalized trapezoidal formulas for the black–scholes equation of option pricing (English)
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9 June 2004
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unconditionally stable
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European option
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Crank-Nicolson scheme
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0.9078794717788696
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0.8094586133956909
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