Finite Difference Methods for Options Pricing
A new numerical method using the mimetic finite difference method is introduced for pricing American and European options, addressing the degeneracy of the Black-Scholes differential operator.
Featured in No. 47 on 1 May 2024 · 4 days after release
- Released
- 27 Apr 2024
- First featured
- No. 47 · 1 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4810000
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