A more accurate finite difference approach to the pricing of contingent claims

DOI10.1016/S0096-3003(97)10029-7zbMath0937.91050OpenAlexW2017258854MaRDI QIDQ1294132

James S. Sochacki, Gerald W. jun. Buetow

Publication date: 14 June 2000

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(97)10029-7

zbMATH Keywords

finite difference methodcontingent claim

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• Option pricing: A simplified approach

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