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    Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options 

    Pindza, Edson; Patidar, Kailash C.; Ngounda, Edgard (Kent State University, 2013)
    In this paper we present a robust numerical method to solve several types of European style option pricing problems. The governing equations are described by variants of Black-Scholes partial differential equations (BS-PDEs) ...

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    AuthorNgounda, Edgard (1)Patidar, Kailash C. (1)
    Pindza, Edson (1)
    Subject
    Barycentric interpolation (1)
    Black-Scholes equation (1)
    Butterfly spread options (1)
    Digital options (1)European options (1)Implicit-explicit predictor-corrector methods (1)... View MoreDate Issued
    2013 (1)

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