Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11075-016-0138-3.pdf
Reference21 articles.
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4. Dremkova, E., Ehrhardt, M.: A high-order compact method for nonlinear Black-Scholes option pricing equations of American Options. Int. J. Comput. Math 88(13), 2782–2797 (2011)
5. Düring, B., Fournié, M., Jüngel, A.: High-order compact finite dfference schemes for a nonlinear Black-Scholes equation. Intern. J. Theor. Appl. Finance 6 (7), 767–789 (2003)
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