SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Numerical pricing of options using high-order compact finite difference schemes · Study

ArticleShelves

ArticleNumerical pricing of options using high-order compact finite difference schemes

Désiré Yannick Tangman2007

OA

Articlebronze2007

Numerical pricing of options using high-order compact finite difference schemes

Désiré Yannick Tangman · Ashvin Gopaul · Muddun Bhuruth

86 citations·0/0 files stored·Journal of Computational and Applied Mathematics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 86 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2000Pricing Financial Instruments: The Finite Difference Method 2012Tools for Computational Finance 1996Binomial models for option valuation - examining and improving convergence 2003A Fast Numerical Method for the Black--Scholes Equation of American Options

Cited by

2012High-order compact finite difference scheme for option pricing in stochastic volatility models 2007Exponential time integration and Chebychev discretisation schemes for fast pricing of options 2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS 2008Exponential time integration for fast finite element solutions of some financial engineering problems 2012A new radial basis functions method for pricing American options under Merton's jump-diffusion model 2013High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids 2011Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion model

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Finite-Element Methodschapter · 4 shared references 2007A fast high-order finite difference algorithm for pricing American optionsarticle · 3 shared references 2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONSarticle · 3 shared references 2017Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatilityarticle · 3 shared references 2010Pricing American options using a space-time adaptive finite difference methodarticle · 3 shared references 2011Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion modelarticle · 3 shared references

Details

Year2007

Typearticle

Published2007-02-22

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations86

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.cam.2007.01.035

openalex_workW2060296485

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2012

High-order computational methods for option valuation under multifactor models