Comparison of numerical methods for the aproximation of option price
AbstractIn this work, we analyse different numerical methods for the approximation of the Black-Scholes equation for the European option pricing. Such an equation presents two main sources of difficulties with regards to its discretization…We explore the effects of both characteristics in terms of numerical stability and convergence and propose som trasformations of the advection-diffusion equation which, in some cases, can alleviate these problems.
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Bibliographic InfoPaper provided by Department of Economics, Parma University (Italy) in its series Economics Department Working Papers with number 2001-ME01.
Length: 21 pages
Date of creation: 2001
Date of revision:
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C00 - Mathematical and Quantitative Methods - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-11-30 (All new papers)
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