On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE

DOI10.1016/j.amc.2023.128380MaRDI QIDQ6090285

Malik Zaka Ullah, Lei Shi, Hemant Kumar Nashine

Publication date: 14 November 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

discretizationstabilitypayoffhigh-dimensional Black-Scholesquartically convergent

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Rate of convergence, degree of approximation (41A25) Method of lines for boundary value problems involving PDEs (65N40)

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