High-accuracy finite-difference methods for the valuation of options
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Publication:5312713
DOI10.1080/00207160500113082zbMath1115.91324MaRDI QIDQ5312713
Publication date: 25 August 2005
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160500113082
American options; Crank-Nicolson method; Black-Scholes equation; European options; Numerov method; linear complementarity approach; valuation of options; Douglas method; high-accuracy finite-difference methods; L-stable Simpson-type rules
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