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

CW Oosterlee; CCW Leentvaar; AA Vazquez

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

CW Oosterlee, CCW Leentvaar, AA Vazquez

Numerical Analysis

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific › peer-review

1 Citation (Scopus)

Original language	Undefined/Unknown
Title of host publication	ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering
Editors	P Neittaanmaki, T Rossi, S Korotov, E Onate, J Periaux, D Knorzer
Place of Publication	Jyvaskyla, Finland
Publisher	University of Jyvaskyla
Pages	1-13
Number of pages	13
ISBN (Print)	951-39-1868-8
Publication status	Published - 2004
Event	European congress on computational methods in applied sciences and engineering, Jyvaskyla, Finland - Jyvaskyla, Finland Duration: 24 Jul 2004 → 28 Jul 2004

Publication series

Name
Publisher	University of Jyvaskyla

Conference

Conference	European congress on computational methods in applied sciences and engineering, Jyvaskyla, Finland
Period	24/07/04 → 28/07/04

Keywords

Conf.proc. > 3 pag

Cite this

Oosterlee, CW., Leentvaar, CCW., & Vazquez, AA. (2004). Pricing options with discrete dividends by high order finite differences and grid stretching. In P. Neittaanmaki, T. Rossi, S. Korotov, E. Onate, J. Periaux, & D. Knorzer (Eds.), ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering (pp. 1-13). University of Jyvaskyla.

Oosterlee, CW ; Leentvaar, CCW ; Vazquez, AA. / Pricing options with discrete dividends by high order finite differences and grid stretching. ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering. editor / P Neittaanmaki ; T Rossi ; S Korotov ; E Onate ; J Periaux ; D Knorzer. Jyvaskyla, Finland : University of Jyvaskyla, 2004. pp. 1-13

@inproceedings{bf5db3aa7d854f03be4a630ff9653569,

title = "Pricing options with discrete dividends by high order finite differences and grid stretching",

keywords = "Conf.proc. > 3 pag",

author = "CW Oosterlee and CCW Leentvaar and AA Vazquez",

year = "2004",

language = "Undefined/Unknown",

isbn = "951-39-1868-8",

publisher = "University of Jyvaskyla",

pages = "1--13",

editor = "P Neittaanmaki and T Rossi and S Korotov and E Onate and J Periaux and D Knorzer",

booktitle = "ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering",

note = "European congress on computational methods in applied sciences and engineering, Jyvaskyla, Finland ; Conference date: 24-07-2004 Through 28-07-2004",

}

Oosterlee, CW, Leentvaar, CCW & Vazquez, AA 2004, Pricing options with discrete dividends by high order finite differences and grid stretching. in P Neittaanmaki, T Rossi, S Korotov, E Onate, J Periaux & D Knorzer (eds), ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering. University of Jyvaskyla, Jyvaskyla, Finland, pp. 1-13, European congress on computational methods in applied sciences and engineering, Jyvaskyla, Finland, 24/07/04.

Pricing options with discrete dividends by high order finite differences and grid stretching. / Oosterlee, CW; Leentvaar, CCW; Vazquez, AA.
ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering. ed. / P Neittaanmaki; T Rossi; S Korotov; E Onate; J Periaux; D Knorzer. Jyvaskyla, Finland: University of Jyvaskyla, 2004. p. 1-13.

Research output: Chapter in Book/Conference proceedings/Edited volume › Conference contribution › Scientific › peer-review

TY - GEN

T1 - Pricing options with discrete dividends by high order finite differences and grid stretching

AU - Oosterlee, CW

AU - Leentvaar, CCW

AU - Vazquez, AA

PY - 2004

Y1 - 2004

KW - Conf.proc. > 3 pag

UR - https://www.scopus.com/pages/publications/84893479241

M3 - Conference contribution

SN - 951-39-1868-8

SP - 1

EP - 13

BT - ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering

A2 - Neittaanmaki, P

A2 - Rossi, T

A2 - Korotov, S

A2 - Onate, E

A2 - Periaux, J

A2 - Knorzer, D

PB - University of Jyvaskyla

CY - Jyvaskyla, Finland

T2 - European congress on computational methods in applied sciences and engineering, Jyvaskyla, Finland

Y2 - 24 July 2004 through 28 July 2004

ER -

Oosterlee CW, Leentvaar CCW, Vazquez AA. Pricing options with discrete dividends by high order finite differences and grid stretching. In Neittaanmaki P, Rossi T, Korotov S, Onate E, Periaux J, Knorzer D, editors, ECCOMAS 2004; Proceedings of the European congress on computational methods in applied sciences and engineering. Jyvaskyla, Finland: University of Jyvaskyla. 2004. p. 1-13

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

Publication series

Conference

Keywords

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Cite this