The trade-offs between alternative finite difference techniques used to price derivative securities.

DOI10.1016/S0096-3003(99)00141-1zbMath1047.91026MaRDI QIDQ5931654

Gerald W. jun. Buetow, James S. Sochacki

Publication date: 25 April 2001

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modelfinite-difference methodsoptions pricing methods

Mathematics Subject Classification ID

Finite difference methods for boundary value problems involving PDEs (65N06)

Related Items (2)

Numerical solution of generalized Black-Scholes model ⋮ Option valuation by using discrete singular convolution

Cites Work

• The Pricing of Options and Corporate Liabilities
• Unnamed Item

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