Generalized trapezoidal formulas for valuing American options

DOI10.1080/00207160410001661672zbMath1093.91023OpenAlexW1969474793MaRDI QIDQ4831408

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

Related Items (3)

High-accuracy finite-difference methods for the valuation of 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

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• 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

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