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European and American put valuation via a high-order semi-discretization scheme | ||
| Computational Methods for Differential Equations | ||
| مقاله 7، دوره 6، شماره 1، فروردین 2018، صفحه 63-79 اصل مقاله (280.67 K) | ||
| نوع مقاله: Research Paper | ||
| نویسنده | ||
| Farshad Kiyoumarsi* | ||
| Faculty of Basic Science, Shahrekord Branch, Islamic Azad University, Shahrekord, Iran | ||
| چکیده | ||
| Put options are commonly used in the stock market to protect against the decline of the price of a stock below a specified price. On the other hand, finite difference approach is a well-known and well-resulted numerical scheme for financial differential equations. As such in this work, a new spatial discretization based on finite difference semi-discretization procedure with high order of accuracy is constructed for the problem of European and American put options. Several numerical experiments are also worked out. | ||
| کلیدواژهها | ||
| Option pricing؛ Numerical scheme؛ Black-Scholes PDE؛ Semi-discretization؛ Put option | ||
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آمار تعداد مشاهده مقاله: 579 تعداد دریافت فایل اصل مقاله: 485 |
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