High-order compact finite difference method for Black-Scholes PDE (Q2801927)
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scientific article; zbMATH DE number 6572573
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| English | High-order compact finite difference method for Black-Scholes PDE |
scientific article; zbMATH DE number 6572573 |
Statements
High-Order Compact Finite Difference Method for Black–Scholes PDE (English)
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22 April 2016
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option pricing
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European options
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Black-Scholes PDE
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compact finite difference methods
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numerical result
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0.8871617913246155
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0.8695123791694641
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0.8592583537101746
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0.8568702340126038
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