A robust nonstandard finite difference scheme for pricing real estate index options

DOI10.1080/10236198.2020.1852226zbMath1460.35350OpenAlexW3108152011MaRDI QIDQ4963880

Mbakisi Dube, Kailash C. Patidar

Publication date: 24 February 2021

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2020.1852226

zbMATH Keywords

option pricingspline interpolationfinite difference methodscomputational financereal estate index options

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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