High order method for Black-Scholes PDE

DOI10.1016/j.camwa.2017.12.002zbMath1409.91276OpenAlexW2780430326MaRDI QIDQ1732487

Jinhao Hu, Si-qing Gan

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.12.002

zbMATH Keywords

option pricingbackward differentiation formulaBlack-Scholes formulacompact difference schemegrid refinement method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

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Optimal non-uniform finite difference grids for the Black-Scholes equations

Cites Work

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