High-Order Compact Finite Difference Method for Black–Scholes PDE-Reference-Cited by-同舟云学术

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

Published:2015 Issue: Volume: Page:393-403
ISSN:2194-1009
Container-title:Mathematical Analysis and its Applications
language:
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Author:

Patel Kuldip Singh,Mehra Mani

Publisher

Springer India

Link

http://link.springer.com/content/pdf/10.1007/978-81-322-2485-3_32

Reference17 articles.

1. Black, F., Scholes, M.: Pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–654 (1973)

2. Achdou, Y., Pironneau, O.: Computational Methods for Options Pricing. SIAM, Philadelphia (2005)

3. Carr, P., Madan, D.B., Smith, R.H.: Option valuation using the fast fourier transform. J. Comput. Finan. 2, 61–73 (1999)

4. Lele, S.K.: Compact finite difference schemes with spectral-like resolution. J. Comput. Phys. 103, 16–42 (1992)

5. Tangman, D.Y., Gopaul, A., Bhuruth, M.: A fast high-order finite difference algorithm for pricing american options. J. Comput. Appl. Math. 222, 17–29 (2008)

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. High-order accurate variable time step compact schemes for pricing vanilla and exotic options;Journal of Applied Mathematics and Computing;2024-05-21

2. A Gaussian type radial basis function method to solve Black-Scholes equation;INTERNATIONAL CONFERENCE ON COMPUTATIONAL SCIENCES-MODELLING, COMPUTING AND SOFT COMPUTING (CSMCS 2020);2021

3. High order method for Black–Scholes PDE;Computers & Mathematics with Applications;2018-04

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