scientific article

zbMATH Open1195.91172MaRDI QIDQ3574546

Man M. Chawla, S. L. Kalla

Publication date: 9 July 2010

Title of this publication is not available (Why is that?)

zbMATH Keywords

American optionsCrank-Nicolson schemeBlack-Scholes equationEuropean optionslinear complementarity formulationSimpson-type schemevaluation of options

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) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Related Items (2)

European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ Valuing American options by simulation: a BSDEs approach

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