Extrapolation of difference methods in option valuation (Q1826691)
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scientific article; zbMATH DE number 2081725
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extrapolation of difference methods in option valuation |
scientific article; zbMATH DE number 2081725 |
Statements
Extrapolation of difference methods in option valuation (English)
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6 August 2004
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American options
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European options
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Down-and-out knock-out options
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Explicit scheme
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Fully implicit scheme
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Crank--Nicolson scheme
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Richardson extrapolation
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