A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option

DOI10.1016/j.cam.2019.06.015zbMath1418.91602OpenAlexW2950437334WikidataQ114202082 ScholiaQ114202082MaRDI QIDQ2315945

V. M. K. Prasad Goura, Pradip Roul

Publication date: 26 July 2019

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.2019.06.015

zbMATH Keywords

convergence analysisstability analysisCrank-Nicolson methodcompact finite difference methodBlack-Scholes equationEuropean call option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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)

Related Items (12)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ An accurate and stable numerical method for option hedge parameters ⋮ A sixth order numerical method and its convergence for generalized Black-Scholes PDE ⋮ Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes ⋮ Lattice Boltzmann method for the generalized Black-Scholes equation ⋮ Unnamed Item ⋮ PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function ⋮ Numerical investigation of double-diffusive convection in rectangular cavities with different aspect ratio. I: High-accuracy numerical method ⋮ Unnamed Item ⋮ High order approximation of derivatives with applications to pricing of financial derivatives ⋮ Sixth-order compact finite difference scheme with discrete sine transform for solving Poisson equations with Dirichlet boundary conditions ⋮ Optimal algebra and power series solution of fractional Black-Scholes pricing model

Uses Software

• Matlab

Cites Work

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