Finite difference method for the black-scholes equation without boundary conditions
Year of publication: |
April 2018
|
---|---|
Authors: | Jeong, Darae ; Yoo, Minhyun ; Kim, Junseok |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 51.2018, 4, p. 961-972
|
Subject: | Black-Scholes equation | Finite difference method | Far field boundary conditions | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory |
-
A comparison study of ADI and LOD methods on option pricing models
Bagheri, Neda, (2017)
-
A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae, (2019)
-
Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba, (2015)
- More ...
-
A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok, (2016)
-
A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae, (2019)
-
Lee, Chaeyoung, (2014)
- More ...