A sixth order numerical method and its convergence for generalized Black-Scholes PDE

DOI10.1016/j.cam.2020.112881zbMath1437.65110OpenAlexW3013876872MaRDI QIDQ2175832

V. M. K. Prasad Goura, Pradip Roul

Publication date: 30 April 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112881

zbMATH Keywords

convergence analysisstability analysisCrank-Nicolson methodEuropean call optionBlack-Scholes PDEsixth-order accuracysextic B-spline basis

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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