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Numerical analysis and construction of limiter of high resolution difference scheme

✍ Scribed by Zhang Mengping; Liu Ruxun


Publisher
Springer
Year
1998
Tongue
English
Weight
457 KB
Volume
19
Category
Article
ISSN
0253-4827

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Numerical pricing of options using high-
✍ 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