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Generalized trapezoidal formulas for the black–scholes equation of option pricing

✍ Scribed by Chawla, M. M.; Al-Zanaidi, M. A.; Evans, D. J.

Book ID
120990620
Publisher
Taylor and Francis Group
Year
2003
Tongue
English
Weight
163 KB
Volume
80
Category
Article
ISSN
0020-7160

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📜 SIMILAR VOLUMES

Numerical solution of linear and nonline
Numerical solution of linear and nonlinear Black–Scholes option pricing equations
✍ Rafael Company; Enrique Navarro; José Ramón Pintos; Enrique Ponsoda 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 375 KB

This paper deals with the numerical solution of Black-Scholes option pricing partial differential equations by means of semidiscretization technique. For the linear case a fourth-order discretization with respect to the underlying asset variable allows a highly accurate approximation of the solution