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

DOI10.1007/978-81-322-2485-3_32zbMath1337.65119OpenAlexW2412471877MaRDI QIDQ2801927

Kuldip Singh Patel, Mani Mehra

Publication date: 22 April 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-81-322-2485-3_32

zbMATH Keywords

option pricingcompact finite difference methodsEuropean optionsnumerical resultBlack-Scholes PDE

Mathematics Subject Classification ID

Related Items (1)

High order method for Black-Scholes PDE

Cites Work

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• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Computational Methods for Option Pricing
• Tools for computational finance.

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