Generalized trapezoidal formulas for the black–scholes equation of option pricing

DOI10.1080/00207160310001603299zbMath1069.91045OpenAlexW2097608413MaRDI QIDQ4467347

M. A. Al-Zanaidi, M. M. Chawla, David J. Evans

Publication date: 9 June 2004

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160310001603299

zbMATH Keywords

Crank-Nicolson schemeEuropean optionunconditionally stable

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)

Related Items (7)

An accurate solution for the generalized Black-Scholes equations governing option pricing ⋮ High-accuracy finite-difference methods for the valuation of options ⋮ Numerical volatility in option valuation from Black–Scholes equation by finite differences ⋮ Generalized trapezoidal formulas for valuing American options ⋮ Spline approximation method to solve an option pricing problem ⋮ High-order exponential spline method for pricing European options ⋮ A Laplace transform finite difference method for the Black-Scholes equation

Cites Work

• The Pricing of Options and Corporate Liabilities
• A class of generalized trapezoidal formulas for the numerical integration of
• Generalized trapezoidal formulas for parabolic equations
• Generalized trapezoidal formulas for convection-diffusion equations
• The Mathematics of Financial Derivatives

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