Preprints of the Keldysh Institute of Applied Mathematics
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Keldysh Institute preprints:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


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}
Linking options:
  • https://www.mathnet.ru/eng/ipmp1111
  • https://www.mathnet.ru/eng/ipmp/y2001/p59
  • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Препринты Института прикладной математики им. М. В. Келдыша РАН
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024