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Original Articles

Generalized trapezoidal formulas for the black–scholes equation of option pricing

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Pages 1521-1526 | Received 23 May 2003, Published online: 12 May 2010

References

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  • Chawla , M. M. , Al-Zanaidi , M. A. and Evans , D. J. (1996) . A class of generalized trapezoidal formulas for the numerical integration of y′ = f(x, y) . Intern. J. Comput. Math. , 62 : 131 – 142 .
  • Chawla , M. M. , Al-Zanaidi , M. A. and Evans , D. J. (1999) . Generalized trapezoidal formulas for parabolic equations . Intern. J. Comput. Math. , 70 : 429 – 443 .
  • Chawla , M. M. , Al-Zanaidi , M. A. and Evans , D. J. (1999) . Generalized trapezoidal formulas for convection-diffusion equations . Intern. J. Comput. Math. , 72 : 141 – 154 .
  • Crank , J. and Nicolson , P. (1947) . A practical method for numerical evaluation of solutions of partial differential equations of the heat-conduction type . Proc. Camb. Phil. Soc. , 43 : 50 – 67 .
  • Geske , R. and Shastri , K. (1985) . Valuation by approximation: A comparison of alternative option valuation techniques . J. Fin. & Quant. Anal. , 20 : 45 – 71 .
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  • Wilmott P. Howison S. Dewynne J. The Mathematics of Financial Derivatives: A Student Introduction Cambridge Univ. Press Cambridge (1995)

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