High order method for Black-Scholes PDE (Q1732487): Difference between revisions

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+Si-qing Gan
@@ Property / author: Si-qing Gan / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2017.12.002
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+W2780430326
@@ Property / OpenAlex ID: W2780430326 / rank @@
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@@ Property / cites work @@
+Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
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@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
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@@ Property / cites work @@
+A fourth order difference method for the one-dimensional general quasilinear parabolic partial differential equation
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+Q4889209
@@ Property / cites work: Q4889209 / rank @@
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@@ Property / cites work @@
+Derivation of high-order compact finite difference schemes for non-uniform grid using polynomial interpolation
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@@ Property / cites work @@
+High-Order Compact Finite Difference Method for Black–Scholes PDE
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@@ Property / cites work @@
+On the numerical solution of nonlinear option pricing equation in illiquid markets
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@@ Property / cites work @@
+Q5217718
@@ Property / cites work: Q5217718 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+An Introduction to Numerical Analysis
@@ Property / cites work: An Introduction to Numerical Analysis / rank @@
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