Pricing options with discrete dividends by high order finite differences and grid stretching

Almendral Vazquez, Ariel; Oosterlee, Cornelis; Leentvaar, C.W.

July 24, 2004

SAND

• Refereed: 1
• Conference: Computational Methods in Applied Sciences and Engineering ECCOMAS 2004
• Title: Pricing options with discrete dividends by high order finite differences and grid stretching
• Author(s): Almendral Vazquez, Ariel; Oosterlee, Cornelis; Leentvaar, C.W.
• Published date: July 24, 2004
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