Generalized trapezoidal formulas for valuing American options
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Publication:4831408
DOI10.1080/00207160410001661672zbMATH Open1093.91023OpenAlexW1969474793MaRDI QIDQ4831408FDOQ4831408
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
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Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- The Mathematics of Financial Derivatives
- 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
Cited In (6)
- A Simpson-type scheme for the valuation of European and American options
- Generalized trapezoidal formulas for pricing bond options
- Numerical volatility in option valuation from Black–Scholes equation by finite differences
- Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
- High-accuracy finite-difference methods for the valuation of options
- Generalized trapezoidal formulas for the black–scholes equation of option pricing
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