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ArticleA high-order finite difference method for option valuation

Mehzabeen Jumanah Dilloo2017

OA

Articlebronze2017

A high-order finite difference method for option valuation

Mehzabeen Jumanah Dilloo · Désiré Yannick Tangman

17 citations·0/0 files stored·Computers & Mathematics with Applications

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

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1985Option Pricing and Replication with Transactions Costs 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions 2008Mathematical Models of Financial Derivatives 1997The Complete Guide to Option Pricing Formulas 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1

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2012Finite-Element Methodschapter · 18 shared references 2012Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion modelsarticle · 12 shared references 2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approacharticle · 10 shared references 2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costsarticle · 9 shared references 2012A new radial basis functions method for pricing American options under Merton's jump-diffusion modelarticle · 9 shared references 2013High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Gridsarticle · 9 shared references

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Year2017

Typearticle

Published2017-06-02

VenueComputers & Mathematics with Applications

ISSN-L0898-1221

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.camwa.2017.05.006

openalex_workW2621301439

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