High order method for Black-Scholes PDE (Q1732487)

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High order method for Black-Scholes PDE
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    title
    High order method for Black-Scholes PDE (English)
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    author
    Jinhao Hu
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    Si-qing Gan
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    publication date
    25 March 2019
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    Mathematics Subject Classification ID
    91G60
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    65M06
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    65M12
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    65M50
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    zbMATH DE Number
    7041117
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    zbMATH Keywords
    option pricing
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    Black-Scholes formula
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    compact difference scheme
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    backward differentiation formula
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    grid refinement method
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