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A More Accurate Finite Difference Approximation for the Valuation of Options

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  • Courtadon, Georges
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    File URL: http://journals.cambridge.org/abstract_S0022109000010620
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 17 (1982)
    Issue (Month): 05 (December)
    Pages: 697-703

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    Handle: RePEc:cup:jfinqa:v:17:y:1982:i:05:p:697-703_01

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    Cited by:
    1. Muthuraman, Kumar, 2008. "A moving boundary approach to American option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3520-3537, November.
    2. Murillas Maza, Arantza, 2000. "Uncertainty and Real Options. Investment and Development of Fishing Resources (II)," BILTOKI 2000-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    3. Mohammad R. Rahman & Ruppa K. Thulasiram & Parimala Thulasiraman, 2005. "Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing," Computing in Economics and Finance 2005 471, Society for Computational Economics.
    4. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    5. Gerald Buetow, Jr. & Joseph Albert, 1998. "The Pricing of Embedded Options in Real Estate Lease Contracts," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 253-266.
    6. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
    7. Zhongdi Cen & Anbo Le & Aimin Xu, 2012. "A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing," Computational Economics, Society for Computational Economics, vol. 40(1), pages 49-62, June.
    8. repec:wyi:wpaper:002011 is not listed on IDEAS

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