Extrapolation of difference methods in option valuation

Author:

Arciniega Armando,Allen Edward

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference7 articles.

1. The equity option volatility smile: an implicit finite-difference approach;Andersen;The Journal of Computational Finance,1998

2. Bumping up against the barrier with the binomial method;Boyle;Journal of Derivatives,1994

3. American option valuation: New bounds, approximations, and a comparison of existing methods;Broadie;The Review of Financial Studies,1996

4. Linear and Quasi-Linear Equations of Parabolic Type, vol. 23;Ladyzenskaja,1968

5. Methods of Numerical Mathematics;Marchuk,1982

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