Extrapolation of difference methods in option valuation
type: Item
instance of: scholarly article
title: Extrapolation of difference methods in option valuation
zbMATH Open document ID: 1109.91354
DOI: 10.1016/S0096-3003(03)00621-0
author: Armando Arciniega
author: Edward J. Allen
published in: Applied Mathematics and Computation
publication date: 2004-08-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2081725
zbMATH Keywords: American options
zbMATH Keywords: European options
zbMATH Keywords: Down-and-out knock-out options
zbMATH Keywords: Explicit scheme
zbMATH Keywords: Fully implicit scheme
zbMATH Keywords: Crank--Nicolson scheme
zbMATH Keywords: Richardson extrapolation
MaRDI profile type: Publication
cites work: Q5562267
cites work: Q3945465
cites work: Q4749146
cites work: Q4528992
full work available at URL: s0096-3003(03)00621-0
OpenAlex ID: W2108785452
description: scientific article; zbMATH DE number 2081725