Faculty of Basic Science, Shahrekord Branch, Islamic Azad University, Shahrekord, Iran
Abstract
Put options are commonly used in the stock market to protect against the decline of the price of a stock below a specified price. On the other hand, finite difference approach is a well-known and well-resulted numerical scheme for financial differential equations. As such in this work, a new spatial discretization based on finite difference semi-discretization procedure with high order of accuracy is constructed for the problem of European and American put options. Several numerical experiments are also worked out.
Kiyoumarsi, F. (2018). European and American put valuation via a high-order semi-discretization scheme. Computational Methods for Differential Equations, 6(1), 63-79.
MLA
Farshad Kiyoumarsi. "European and American put valuation via a high-order semi-discretization scheme". Computational Methods for Differential Equations, 6, 1, 2018, 63-79.
HARVARD
Kiyoumarsi, F. (2018). 'European and American put valuation via a high-order semi-discretization scheme', Computational Methods for Differential Equations, 6(1), pp. 63-79.
VANCOUVER
Kiyoumarsi, F. European and American put valuation via a high-order semi-discretization scheme. Computational Methods for Differential Equations, 2018; 6(1): 63-79.
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