A More Accurate Finite Difference Approximation for the Valuation of Options
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 17 (1982)
Issue (Month): 05 (December)
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- 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).
- 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.
- 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.
- 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.
- Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
- repec:wyi:wpaper:002011 is not listed on IDEAS
- 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.
- 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.
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