scientific article; zbMATH DE number 6263488

zbMath1299.65203MaRDI QIDQ5399628

Jun-Feng Yin, Ning Zheng

Publication date: 28 February 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

numerical exampleshigh order compact schemelocal mesh refinementnon-smooth boundary conditionsBlack-Scholes European options pricingvariable coefficient parabolic equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

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A class of fourth-order Padé schemes for fractional exotic options pricing model

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