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Pricing Financial Instruments: The Finite Difference Method
Curt Randall,Domingo Tavella +1 more
TLDR
The Pricing Equations. as mentioned in this paper and the Finite-difference method are the most commonly used methods for finite difference methods in the literature, and they can be found in:Abstract:
The Pricing Equations. Analysis of Finite Difference Methods. Special Issues. Coordinate Transformations. Numerical Examples. Index.read more
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Journal ArticleDOI
Solution of the Black-Scholes Equation by Finite Difference Schemes
TL;DR: In this paper , three finite difference methods: Explicit, Implicit and Crank-Nicolson for solving Black-Scholes equation for European call option and compared the obtained results with the exact value.
Journal ArticleDOI
Volatility Derivatives in Market Models with Jumps
Harry Lo,Aleksandar Mijatović +1 more
TL;DR: In this article, the authors assume that the asset price process S is Markov with cadlag paths and propose a scheme for computing the law of the realized variance of the log returns accrued while the asset was trading in a prespecified corridor.
El método de diferencias finitas en evaluación de opciones reales 1 the finite difference method in real options valuation
TL;DR: In this paper, an overview of the thenite difference method, by presenting an application to the real options valuation, is presented, which analyzes the options of waiting, abandoning, contracting, expanding and switching.
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High-Order Compact Finite Difierence Scheme for Option Pricing in Stochastic Volatility Models
TL;DR: In this paper, a new high-order compact finite difference scheme for option pricing in stochastic volatility models is proposed. But the scheme is only fourth-order accurate in space and second-order accuracy in time.
Book ChapterDOI
A New High-Order Compact Finite Difference Scheme for Solving Black-Scholes Equation
Lu-feng Yang,Xu-lin Hu +1 more
TL;DR: In this paper, an unconditionally stable high-order compact finite difference scheme is proposed for solving the Black-Scholes equation, and the convergence rate is second-order in time and fourth-order on space.