Numerical volatility in option valuation from Black–Scholes equation by finite differences

DOI10.1080/03057920412331272234zbMath1077.91026OpenAlexW2149163650MaRDI QIDQ4828670

M. M. Chawla, David J. Evans

Publication date: 26 November 2004

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

Full work available at URL: https://doi.org/10.1080/03057920412331272234

zbMATH Keywords

finite differencesBlack-Scholes equationCrank-Nicolsonoption valuationnumerical volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Real options pricing by the finite element method ⋮ A partition of unity finite element method for valuation American option under Black-Scholes model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Generalized trapezoidal formulas for the black–scholes equation of option pricing
• Generalized trapezoidal formulas for valuing American options

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