Numerical volatility in option valuation from Black–Scholes equation by finite differences

DOI10.1080/03057920412331272234zbMATH Open1077.91026OpenAlexW2149163650MaRDI QIDQ4828670FDOQ4828670

Authors: Man M. Chawla, D. J. Evans 

Publication date: 26 November 2004

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

Full work available at URL: https://doi.org/10.1080/03057920412331272234

zbMATH Keywords

Crank-Nicolsonfinite differencesBlack-Scholes equationoption valuationnumerical volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• The pricing of options and corporate liabilities
• Generalized trapezoidal formulas for the black–scholes equation of option pricing
• Generalized trapezoidal formulas for valuing American options

Cited In (6)

• Numerical techniques for determining implied volatility in option pricing
• Real options pricing by the finite element method
• Title not available (Why is that?)
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
• A partition of unity finite element method for valuation American option under Black-Scholes model
• A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model

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