Superconvergence of the finite element solutions of the Black–Scholes equation
Year of publication: |
2013
|
---|---|
Authors: | Golbabai, A. ; Ballestra, L.V. ; Ahmadian, D. |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 10.2013, 1, p. 17-26
|
Publisher: |
Elsevier |
Subject: | Finite element method | Black–Schoels equation | Vanilla option | Barrier options | Gauss–Lobatto | Superconvergence |
-
Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
Guo, Ivan, (2019)
-
Pricing of Derivatives with Stochastically Correlated Underlyings
Büchler, Matthias, (2014)
-
A New Approach to Minimal Variance Hedging of European Options (Part 2 : The Pure-Jump Case)
Hess, Markus, (2021)
- More ...
-
Superconvergence of the finite element solutions of the Black-Scholes equation
Golbabai, A., (2013)
-
A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options
Golbabai, A., (2014)
-
A highly accurate finite element method to price discrete double barrier options
Golbabai, A., (2014)
- More ...