A Numerical Algorithm Based on a Fitted Finite Volume Method for Option Pricing with Its Implementation in Mathematica
Author:
Publisher
Springer Nature Singapore
Link
https://link.springer.com/content/pdf/10.1007/978-981-19-5221-0_21
Reference9 articles.
1. Black F, Scholes M (1973) The pricing of options and other corporate liabilities. J Polit Econ 81(3):637–654
2. Tangman DY, Gopaul A, Bhuruth M (2008) Numerical pricing of options using high-order compact finite difference schemes. J Comput Appl Math 218:270–280
3. Tangman DY, Thakoor N, Dookhitram K, Bhuruth M (2011) Fast approximations of bond option prices under CKLS models. Finance Res Lett 8:206–212
4. Thakoor N, Tangman DY, Bhuruth M (2014) Efficient and high accuracy pricing of barrier options under the CEV diffusion. J Comput Appl Math 259:182–193
5. Thakoor N, Tangman DY, Bhuruth M (2018) RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility. Eng Anal Bound Elem 92:207–217
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