A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme

Authors :: Chittaranjan Mishra
Xiaoping Lu
Source :: International Journal of Computer Mathematics. 97:1320-1338
Publication Year :: 2019
Publisher :: Informa UK Limited, 2019.
Abstract: One of the prominent alternating direction implicit (ADI) schemes for numerically pricing financial options, the modified Craig–Sneyd scheme, is put to test for its reliability and efficiency for s...

Subjects :: Scheme (programming language)
Mathematical optimization
Applied Mathematics
Stability (learning theory)
010103 numerical & computational mathematics
01 natural sciences
Computer Science Applications
010101 applied mathematics
Alternating direction implicit method
Computational Theory and Mathematics
Foreign exchange
0101 mathematics
computer
Financial options
Reliability (statistics)
computer.programming_language
Mathematics

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