Financial Applications of Symbolically Generated Compact Finite Difference Formulae

DOI10.1007/978-3-7643-7984-1_22zbMath1284.91578OpenAlexW134988847MaRDI QIDQ3447192

Jichao Zhao, Matt Davison, Robert M. Corless

Publication date: 28 June 2007

Published in: Trends in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7643-7984-1_22

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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Highly accurate compact mixed methods for two point boundary value problems ⋮ Convergence of the compact finite difference method for second-order elliptic equations ⋮ A new predictor-corrector scheme for valuing American puts ⋮ Numerical solution of generalized Black-Scholes model ⋮ A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option

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