Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme

Applied Mathematics and Computation

Volumn 143, Issue 1, 2003, Pages 39-60

  McCartin, Brian J ^a   Labadie, Suzanne M ^a  

^a KETTERING UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; BOUNDARY VALUE PROBLEMS; PROBLEM SOLVING;

VARIATIONAL INEQUALITY;

COMPUTATIONAL METHODS;

EID: 0037809669     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0096-3003(02)00343-0     Document Type: Article

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