Comparison of numerical methods for the aproximation of option price

S. Sanfelici ()

No 2001-ME01, Economics Department Working Papers from Department of Economics, Parma University (Italy)

Abstract: In this work, we analyse different numerical methods for the approximation of the Black-Scholes equation for the European option pricing. Such an equation presents two main sources of difficulties with regards to its discretization…We explore the effects of both characteristics in terms of numerical stability and convergence and propose som trasformations of the advection-diffusion equation which, in some cases, can alleviate these problems.

JEL-codes: C00 G13 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2001
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:par:dipeco:2001-me01

Access Statistics for this paper

More papers in Economics Department Working Papers from Department of Economics, Parma University (Italy) Via J.F. Kennedy 6, 43100 PARMA (Italy). Contact information at EDIRC.
Bibliographic data for series maintained by Andrea Lasagni ().