A COMPARISON STUDY OF EXPLICIT AND IMPLICIT NUMERICAL METHODS FOR THE EQUITY-LINKED SECURITIES

DOI10.5831/HMJ.2015.37.4.441zbMath1331.91197OpenAlexW2301838103MaRDI QIDQ2788838

Darae Jeong, Seungsuk Seo, Junseok Kim, Minhyun Yoo

Publication date: 22 February 2016

Published in: Honam Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5831/hmj.2015.37.4.441

zbMATH Keywords

log transformationequity-linked securitiesnon-uniform gridexplicit finite difference methodBlack-Scholes partial diffrential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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