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

页码：393 / 403

页数：11

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