๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Numerical Anisotropy Study of a Class of Compact Schemes

โœ Scribed by Sescu, Adrian; Hixon, Ray


Book ID
121555757
Publisher
Springer US
Year
2014
Tongue
English
Weight
696 KB
Volume
61
Category
Article
ISSN
0885-7474

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Numerical pricing of options using high-
โœ D.Y. Tangman; A. Gopaul; M. Bhuruth ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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