Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (Q503351)
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scientific article; zbMATH DE number 6674010
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| English | Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model |
scientific article; zbMATH DE number 6674010 |
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Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (English)
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12 January 2017
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option pricing
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high-order compact difference scheme
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convergence
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Richardson extrapolation
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0.8637514114379883
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0.8557188510894775
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0.8523174524307251
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0.8352048993110657
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0.7856898903846741
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