Exponentially fitted block backward differentiation formulas for pricing options
نویسندگان
چکیده
منابع مشابه
A Class of Exponentially Fitted Second Derivative Extended Backward Differentiation Formula for Solving Stiff Problems
An exponentially fitted second derivative extended backward differentiation formula (SDEBDF) is derived from the class of composite, multiderivative linear multistep method with a free parameter to allow for the exponential fitting. Some numerical properties such as stability of the methods are investigated as a pair of predictor-corrector (P-C) technique based on a proposed algorithm, to which...
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Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist for these popular options, how to price them numerically in an efficient and accurate manner has been extensively investigated. There are two types of Asian options, fixed-strike and floating-strike Asian options. Excel...
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This paper focuses on the derivation of diagonally implicit two-point block backward differentiation formulas DI2BBDF for solving first-order initial value problem IVP with two fixed points. The method approximates the solution at two points simultaneously. The implementation and the stability of the proposed method are also discussed. A performance of the DI2BBDF is compared with the existing ...
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ژورنال
عنوان ژورنال: Cogent Economics & Finance
سال: 2021
ISSN: 2332-2039
DOI: 10.1080/23322039.2021.1875565