Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing

DOI10.1016/j.amc.2007.05.017zbMath1142.91546MaRDI QIDQ2470180

Stilianos Markolefas

Publication date: 13 February 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.05.017

zbMATH Keywords

Black-Scholes equation; call options; high order finite elements; put options; option contracts pricing models

Mathematics Subject Classification ID

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

An efficient computational algorithm for pricing European, barrier and American options, Numerical treatment of stochastic models used in statistical systems and financial markets

Cites Work

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