Extrapolation of difference methods in option valuation

DOI10.1016/S0096-3003(03)00621-0zbMath1109.91354OpenAlexW2108785452MaRDI QIDQ1826691

Armando Arciniega, Edward J. Allen

Publication date: 6 August 2004

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

Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00621-0

zbMATH Keywords

American optionsRichardson extrapolationEuropean optionsCrank--Nicolson schemeDown-and-out knock-out optionsExplicit schemeFully implicit scheme

Mathematics Subject Classification ID

Related Items (14)

Pricing and simulation for real estate index options: radial basis point interpolation ⋮ Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation ⋮ Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method ⋮ Richardson extrapolation technique for generalized Black-Scholes PDEs for European options ⋮ Pricing European and American options by radial basis point interpolation ⋮ Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options ⋮ PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ Spline approximation method to solve an option pricing problem ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ Pricing real estate index options by compactly supported radial-polynomial basis point interpolation ⋮ On the analytical–numerical valuation of the Bermudan and American options ⋮ Smoothing with positivity-preserving Padé schemes for parabolic problems with nonsmooth data ⋮ Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

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