SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A new higher order compact finite difference method for generalised Black–Scholes partial differential equation: European call option
10 references·1 citing·22 second hop
A new higher order compact finite difference method for generalised Black–Scholes partial differential equation: European call option (2019)A new higher order compact finite differe…Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing (2015)Quintic B-spline collocation …High-order compact finite difference scheme for option pricing in stochastic volatility models (2012)High-order compact finite dif…A robust and accurate finite difference method for a generalized Black–Scholes equation (2011)A robust and accurate finite …Compact finite difference method for American option pricing (2006)Compact finite difference met…Theory of rational option pricing (2005)Theory of rational option pri…Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation (2004)Convergence of a high-order c…Far Field Boundary Conditions for Black--Scholes Equations (2000)Far Field Boundary Conditions…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A sixth order numerical method and its convergence for generalized Black–Scholes PDE (2020)A sixth order numerical metho…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)Options, Futures and Other Derivatives (2003)A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008)On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call options (2010)“Options, Futures, and Other Derivatives” (2016)Methods of Mathematical Finance (1998)A penalty method for American options with jump diffusion processes (2004)Operator splitting methods for American option pricing (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A new efficient numerical method for solving American option under regime switching model (2015)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Analytical Solutions of the Black–Scholes Pricing Model for European Option Valuation via a Projected Differential Transformation Method (2015)Numerical Methods for Non-Linear Black–Scholes Equations (2009)High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 2011A robust and accurate finite difference method for a generalized Black–Scholes equation100 cited
  • 2006Compact finite difference method for American option pricing97 cited
  • 2012High-order compact finite difference scheme for option pricing in stochastic volatility models70 cited
  • 2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation52 cited
  • 2015Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing51 cited

Cited by

  • 2020A sixth order numerical method and its convergence for generalized Black–Scholes PDE38 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work