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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Year of publication:	2001
Authors:	Sanfelici, S.
Institutions:	Facoltà di Economia, Università degli Studi di Parma

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Series:	Economics Department Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001-ME01 21 pages
Classification:	G13 - Contingent Pricing; Futures Pricing ; C00 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005248548