Michel Fournie

Université Paul Sabatier Toulouse III

118 Route de Narbonne

Toulouse cedex 9, F-31062

France

SCHOLARLY PAPERS

4

DOWNLOADS

675

SSRN CITATIONS
Rank 45,320

SSRN RANKINGS

Top 45,320

in Total Papers Citations

9

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

University of Konstanz Center of Finance and Econometrics Discussion Paper No. 01/07
Number of pages: 28 Posted: 26 Mar 2004
Bertram Düring, Michel Fournie and Ansgar Jüngel
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 249 (170,450)
Citation 2

Abstract:

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Option pricing, transaction costs, parabolic equations, compact finite difference discretizations

2.

Convergence of a High-Order Compact Finite Difference Scheme for a Nonlinear Black-Scholes Equation

University of Konstanz Discussion Paper No. 04/02
Number of pages: 16 Posted: 26 Mar 2004
Bertram Düring, Michel Fournie and Ansgar Jüngel
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 189 (220,343)
Citation 1

Abstract:

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High-order compact finite differences, numerical convergence, viscosity solution, financial derivatives

3.

High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

Number of pages: 23 Posted: 23 Jul 2010 Last Revised: 02 Feb 2012
Bertram Düring and Michel Fournie
University of Warwick - Mathematics Institute and Université Paul Sabatier Toulouse III
Downloads 159 (255,333)
Citation 8

Abstract:

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Option pricing, compact finite difference discretizations, mixed derivatives, high-order scheme

4.

High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

Number of pages: 21 Posted: 19 Jul 2013 Last Revised: 25 Apr 2014
Bertram Düring, Michel Fournie and Christof Heuer
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and University of Sussex - School of Mathematical and Physical Sciences
Downloads 78 (417,657)
Citation 6

Abstract:

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option pricing, stochastic volatility, high-order compact finite difference method