Comparison of numerical methods for the aproximation of option price
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.
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|Date of creation:||2001|
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Web page: http://economia.unipr.it/de
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