Numerical pricing of financial derivatives using Jain's high-order compact scheme

DOI10.1186/2251-7456-6-72zbMath1279.91187WikidataQ59273037 ScholiaQ59273037MaRDI QIDQ387081

Nawdha Thakoor, Muddun Bhuruth, Yannick Désiré Tangman

Publication date: 11 December 2013

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/2251-7456-6-72

zbMATH Keywords

American options; Black-Scholes equation; interest rate models; high-order discretisations; operator splitting methods

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)