Generalized trapezoidal formulas for the black–scholes equation of option pricing

DOI10.1080/00207160310001603299zbMath1069.91045MaRDI QIDQ4467347

M. M. Chawla, M. A. Al-Zanaidi, David J. Evans

Publication date: 9 June 2004

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160310001603299

zbMATH Keywords

Crank-Nicolson scheme; European option; unconditionally stable

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

91G20: Derivative securities (option pricing, hedging, etc.)