An Analytically Modified Finite Difference Scheme for Pricing Discretely Monitored Options
Finite difference methods are commonly used in the pricing of discretely monitored exotic options in the Black–Scholes framework, but they tend to converge slowly due to discontinuities contained in terminal conditions. We present an effective analytical modification to existing finite difference me...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/2/241 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|