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Preprints of the Keldysh Institute of Applied Mathematics, 2001, 059 (Mi ipmp1111)  

Finite difference approach to option pricing

A. S. Shvedov
Abstract: In this paper we show how it is possible to derive partial differential equations for prices of financial instruments. We discuss statement of boundary conditions also. Various difference schemes are used to solve the partial differential equations numerically. A new difference scheme is compared with traditional difference schemes. Numerical results are presented.
Document Type: Preprint
Language: Russian
Citation: A. S. Shvedov, “Finite difference approach to option pricing”, Keldysh Institute preprints, 2001, 059
Citation in format AMSBIB
\Bibitem{Shv01}
\by A.~S.~Shvedov
\paper Finite difference approach to option pricing
\jour Keldysh Institute preprints
\yr 2001
\papernumber 059
\mathnet{http://mi.mathnet.ru/ipmp1111}
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    Препринты Института прикладной математики им. М. В. Келдыша РАН
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