𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The use of higher order finite difference schemes is not dangerous

✍ Scribed by Peter Mathé; Sergei V. Pereverzev

Book ID
108163808
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
577 KB
Volume
25
Category
Article
ISSN
0885-064X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On the Use of Higher-Order Finite-Differ
On the Use of Higher-Order Finite-Difference Schemes on Curvilinear and Deforming Meshes
✍ Miguel R Visbal; Datta V Gaitonde 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 770 KB

This study enables the use of very high-order finite-difference schemes for the solution of conservation laws on stretched, curvilinear, and deforming meshes. To illustrate these procedures, we focus on up to 6th-order Pade-type spatial discretizations coupled with up to 10th-order low-pass filters.

Numerical pricing of options using high-
Numerical pricing of options using high-order compact finite difference schemes
✍ D.Y. Tangman; A. Gopaul; M. Bhuruth 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 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