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The Statistical Properties of the Black–Scholes Option Price

✍ Scribed by Mthuli Ncube; Stephen Satchell


Book ID
108550410
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
223 KB
Volume
7
Category
Article
ISSN
0960-1627

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📜 SIMILAR VOLUMES


Numerical solution of linear and nonline
✍ 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