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A More Accurate Finite Difference Approximation for the Valuation of Options

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Author Info
Courtadon, Georges
Abstract

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Publisher 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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  1. Arantza Murillas, 2000. "Uncertainty and Real Options. Investment and Development of Fishing Resources (II)," BILTOKI 200002, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
  2. 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. [Downloadable!]
  3. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  4. 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. [Downloadable!]
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This page was last updated on 2009-12-14.

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