Efficient High-Order Numerical Methods for Pricing of Options
β Scribed by Hajipour, Mojtaba; Malek, Alaeddin
- Book ID
- 121601665
- Publisher
- Springer US
- Year
- 2013
- Tongue
- English
- Weight
- 362 KB
- Volume
- 45
- Category
- Article
- ISSN
- 1572-9974
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π SIMILAR VOLUMES
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
We describe an improvement of Han and Wu's algorithm [H. Han, X.Wu, A fast numerical method for the Black-Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003Anal. 41 (6) ( ) 2081Anal. 41 (6) ( -2095] ] for American options. A high-order optimal compact scheme is used to discretis