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Subject
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Crank – Nicolson Method 1 European options 1 Gauss method 1 Gauss – Seidel method 1 Jacobi method 1 LU algorithm 1 method of successive over-relaxations 1 values of an option 1
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Free 1
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Article 1
Language
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Romanian 1
Author
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LUNGU, Ion 1 MANOLE, Sorin 1
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Informatica Economica 1
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RePEc 1
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Determining European Options Values through Crank-Nicolson Method
MANOLE, Sorin; LUNGU, Ion - In: Informatica Economica X (2006) 2, pp. 143-149
implicit one, applying it leads to a linear system of equations, for whose solving the LU algorithm, Gauss method, Jacobi …
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