Convergence of the Two Point Flux Approximation method and the fitted Two Point Flux Approximation method for options pricing with local volatility function-Reference-Cited by-同舟云学术

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Convergence of the Two Point Flux Approximation method and the fitted Two Point Flux Approximation method for options pricing with local volatility function

Published:2024-12 Issue: Volume:139 Page:108291
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Koffi Rock S.,Tambue Antoine

Funder

African Institute for Mathematical Sciences

Robert-Bosch Stiftung GmbH

Publisher

Elsevier BV

Reference14 articles.

1. The pricing of options and corporate liabilities;Black;J Political Econ,1973

2. Power penalty method for a linear complementarity problem arising from American option valuation;Wang;J Optim Theory Appl,2006

3. Option pricing: A simplified approach;Cox;J Financial Econ,1979

4. Finite difference methods in financial engineering: a partial differential equation approach;Duffy,2013

5. The complete guide to option pricing formulas;Haug,2007

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