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
✦ LIBER ✦
Numerical pricing of financial derivatives using Jain’s high-order compact scheme
✍ Scribed by Nawdha Thakoor, Yannick Tangman, Muddun Bhuruth
- Book ID
- 120799302
- Publisher
- Springer-Verlag
- Year
- 2012
- Tongue
- English
- Weight
- 311 KB
- Volume
- 6
- Category
- Article
- ISSN
- 2251-7456
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