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Analysis of local defect correction and high-order compact finite differences

✍ Scribed by M. Sizov; M.J.H. Anthonissen; R.M.M. Mattheij

Book ID
102551197
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
252 KB
Volume
22
Category
Article
ISSN
0749-159X

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πŸ“œ SIMILAR VOLUMES

Numerical pricing of options using high-
Numerical pricing of options using high-order compact finite difference schemes
✍ D.Y. Tangman; A. Gopaul; M. Bhuruth πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 262 KB

We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black-Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth