This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Comparison of numerical methods for the aproximation of option price

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
S. Sanfelici ()
Abstract

In 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.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Paper provided by Department of Economics, Parma University (Italy) in its series Economics Department Working Papers with number 2001-ME01.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 21 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:par:dipeco:2001-me01

Contact details of provider:
Postal: Via J.F. Kennedy 6, 43100 PARMA (Italy)
Phone: 0521/902454
Fax: 0521/902400
Email:
Web page: http://economia.unipr.it/de
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Andrea Lasagni).

Related research
Keywords:

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:

Statistics
Access and download statistics

Did you know? All RePEc services are meant to be be free forever, as they are all run by volunteers.

This page was last updated on 2009-12-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.