Generalized trapezoidal formulas for valuing American options

DOI10.1080/00207160410001661672MaRDI QIDQ4831408zbMATH OpenOpenAlexFDO

Authors Man M. Chawla, M. A. Al-Zanaidi, D. J. Evans

Publication date 29 December 2004

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

Full work available at URL https://doi.org/10.1080/00207160410001661672

zbMATH Keywords

Crank-Nicolson schemeBlack-Scholes equationLinear Complementarity Problem

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3747703 (Why is no real title available?)
• A class of generalized trapezoidal formulas for the numerical integration of
• Generalized trapezoidal formulas for parabolic equations
• Generalized trapezoidal formulas for the black–scholes equation of option pricing
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(6)

• High-accuracy finite-difference methods for the valuation of options
• Generalized trapezoidal formulas for pricing bond options
• Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
• Numerical volatility in option valuation from Black–Scholes equation by finite differences
• A Simpson-type scheme for the valuation of European and American options
• Generalized trapezoidal formulas for the black–scholes equation of option pricing

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