High-Order Compact Finite Difference Method for Black-Scholes PDE

被引：2
|
作者：
Patel, Kuldip Singh [1 ]
Mehra, Mani [1 ]
机构：
[1] Indian Inst Technol, Delhi, India
来源：
MATHEMATICAL ANALYSIS AND ITS APPLICATIONS | 2015年 / 143卷
关键词：
Option pricing; European options; Black-Scholes PDE; Compact finite difference methods; SCHEMES;
D O I：
10.1007/978-81-322-2485-3_32
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, Black-Scholes PDE is solved for European option pricing by high-order compact finite difference method using polynomial interpolation. Numerical results obtained are compared with standard finite difference method and error with the analytic solution is discussed.
引用
收藏
页码：393 / 403
页数：11
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