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

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+https://doi.org/10.1016/j.camwa.2017.12.002
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+W2780430326
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@@ Property / cites work @@
+Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
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+Numerical pricing of options using high-order compact finite difference schemes
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+A fourth order difference method for the one-dimensional general quasilinear parabolic partial differential equation
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+Derivation of high-order compact finite difference schemes for non-uniform grid using polynomial interpolation
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+High-Order Compact Finite Difference Method for Black–Scholes PDE
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+The Pricing of Options and Corporate Liabilities
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+An Introduction to Numerical Analysis
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