Pricing Financial Instruments: The Finite Difference Method
By Curt Randall, D. Tavella. 2000
575 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/0872da7f7e6d7a1563f3d53608828a98da55be68
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Citations in the corpus
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005, unknown): “While other finite difference methods have been proposed in the literature for such equations [2, 14, 29] a comparable analysis of consistency, stability”
- Robust numerical methods for contingent claims under jump diffusion processes (2005, methodology): “This idea was suggested in Tavella and Randall (2000), but no convergence analysis was given.”
- Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004, methodology): “In [18] the authors propose a boundary technique that does not require additional linearity assumptions.”
- Stability of ADI schemes applied to convection-diffusion equations with mixed derivative terms (2007, unknown): “[19]).”
- Pricing American options under variance gamma (2003, background): “Tavella and Randall [13] use Romberg integration for evaluating the integral.”
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008, methodology): “Usually finite differences [37] or finite elements [1] are used to discretize this heat equation and an artificial boundary condition (ABC) is introduced in order to confine the computational domain appropriately.”
- Extending quadrature methods to value multi-asset and complex path dependent options (2007, background): “found in Haber, Sch¶onbucher and Wilmott (1999) or Tavella and Randall (2000) .”
- Efficient numerical methods for pricing American options under stochastic volatility (2008, methodology): “The projected SOR method introduced in [12] has been used widely for pricing American options; see, for example, [37], [39], [43].”