Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.

DOI10.1016/S0096-3003(02)00343-0zbMath1053.91062MaRDI QIDQ1399766

Suzanne M. Labadie, Brian J. McCartin

Publication date: 30 July 2003

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

zbMATH Keywords

variational inequalitynumerical procedurefourth-order accurateCrandall-Douglas schemediscretization of the diffusion operatorpricing vanilla stock options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY ⋮ A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS ⋮ Numerical pricing of options using high-order compact finite difference schemes ⋮ High order method for Black-Scholes PDE ⋮ Space-time adaptive finite difference method for European multi-asset options ⋮ On the numerical solution of nonlinear Black-Scholes equations ⋮ Stability analysis of Crank-Nicolson and Euler schemes for time-dependent diffusion equations

Cites Work

• The Pricing of Options and Corporate Liabilities
• Transient heat transfer in simultaneously developing channel flow with step change in inlet temperature
• An optimum implicit recurrence formula for the heat conduction equation
• The Solution of the Diffusion Equation by a High Order Correct Difference Equation
• Minkowski matrices.
• Some mathematical results in the pricing of American options
• Reducing parabolic partial differential equations to canonical form
• The Mathematics of Financial Derivatives
• Iterative Solution Methods
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