European and American put valuation via a high-order semi-discretization scheme

نویسنده

  • Farshad Kiyoumarsi Faculty of Basic Science, Shahrekord Branch, Islamic Azad University, Shahrekord, Iran
چکیده مقاله:

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.

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عنوان ژورنال

دوره 6  شماره 1

صفحات  63- 79

تاریخ انتشار 2018-01-01

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