NUMERICAL PRICING OF FINANCIAL DERIVATIVES USING JAIN’S HIGH-ORDER COMPACT SCHEME

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

THAKOOR NAWDHA; TANGMAN YANNICK; BHURUTH MUDDUN

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: MATHEMATICAL SCIENCES Year:2012 | Volume:6 | Issue:- Page(s): 1-16

Download Full-Text

View:

349

Download:

122

Cites:

Information Journal Paper

Title

NUMERICAL PRICING OF FINANCIAL DERIVATIVES USING JAIN’S HIGH-ORDER COMPACT SCHEME

Author(s)

THAKOOR NAWDHA | TANGMAN YANNICK | BHURUTH MUDDUN | Issue Writer Certificate

Keywords

INTEREST RATE MODELS

AMERICAN OPTIONS

HIGH-ORDER DISCRETISATIONS

OPERATOR SPLITTING METHODS

BLACK-SCHOLES EQUATION

Abstract

Purpose: This paper develops new fast and accurate computational schemes for pricing European and American bond options under generalised Chan-Karoyli-Longstaff-Sanders term structure models.Methods: We use high-order compact discretisations of the pricing equations and an operator splitting method for AMERICAN OPTIONS.Results: Highly accurate numerical solutions can be computed using relatively coarse grid sizes and numerical solutions exhibiting fourth-order convergence are obtained for bond and bond option prices. The scheme is also stable and efficient for pricing financial problems with time dependent parameters.Conclusions: The new schemes are efficient alternatives to schemes based on the Crank-Nicolson discretisation for the pricing of interest rate derivatives.

Cites

No record.

References

Cite

APA: Copy

THAKOOR, NAWDHA, TANGMAN, YANNICK, & BHURUTH, MUDDUN. (2012). NUMERICAL PRICING OF FINANCIAL DERIVATIVES USING JAIN’S HIGH-ORDER COMPACT SCHEME. MATHEMATICAL SCIENCES, 6(-), 1-16. SID. https://sid.ir/paper/322629/en

Vancouver: Copy

THAKOOR NAWDHA, TANGMAN YANNICK, BHURUTH MUDDUN. NUMERICAL PRICING OF FINANCIAL DERIVATIVES USING JAIN’S HIGH-ORDER COMPACT SCHEME. MATHEMATICAL SCIENCES[Internet]. 2012;6(-):1-16. Available from: https://sid.ir/paper/322629/en

IEEE: Copy

NAWDHA THAKOOR, YANNICK TANGMAN, and MUDDUN BHURUTH, “NUMERICAL PRICING OF FINANCIAL DERIVATIVES USING JAIN’S HIGH-ORDER COMPACT SCHEME,” MATHEMATICAL SCIENCES, vol. 6, no. -, pp. 1–16, 2012, [Online]. Available: https://sid.ir/paper/322629/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops