WENO and blended BDF discretizations for option pricing problems

DOI10.1007/978-88-470-2089-4_39zbMath1096.91505OpenAlexW132394777MaRDI QIDQ4462367

J. C. Frisch, Francisco José Gaspar, Cornelis W. Oosterlee

Publication date: 18 May 2004

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-88-470-2089-4_39

zbMATH Keywords

partial differential equationsBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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