Numerical pricing of options using high-order compact finite difference schemes

DOI10.1016/j.cam.2007.01.035zbMath1146.91338OpenAlexW2060296485MaRDI QIDQ932713

Ashvin Gopaul, Désiré Yannick Tangman, Muddun Bhuruth

Publication date: 11 July 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.01.035

zbMATH Keywords

American optionsEuropean optionshigh-order compact schemeBlack-Scholes PDEfront fixinggrid stretching

Mathematics Subject Classification ID

Related Items (36)

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Cites Work

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• Classroom Note:Calculation of Weights in Finite Difference Formulas
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• Binomial models for option valuation - examining and improving convergence
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Tools for computational finance

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