Numerical pricing of financial derivatives using Jain's high-order compact scheme

DOI10.1186/2251-7456-6-72zbMath1279.91187OpenAlexW2171339994WikidataQ59273037 ScholiaQ59273037MaRDI QIDQ387081

Nawdha Thakoor, Muddun Bhuruth, Yannick Désiré Tangman

Publication date: 11 December 2013

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

Full work available at URL: https://doi.org/10.1186/2251-7456-6-72

zbMATH Keywords

American optionsBlack-Scholes equationinterest rate modelshigh-order discretisationsoperator splitting methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• An Artificial Boundary Method for American Option Pricing under the CEV Model
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• Approximate Formulas for Zero‐coupon Bonds
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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