High-accuracy finite-difference methods for the valuation of options (Q5312713)
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scientific article; zbMATH DE number 2198805
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-accuracy finite-difference methods for the valuation of options |
scientific article; zbMATH DE number 2198805 |
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High-accuracy finite-difference methods for the valuation of options (English)
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25 August 2005
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valuation of options
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Black-Scholes equation
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Crank-Nicolson method
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Douglas method
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L-stable Simpson-type rules
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Numerov method
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high-accuracy finite-difference methods
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European options
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American options
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linear complementarity approach
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