High order method for Black-Scholes PDE
type: Item
instance of: scholarly article
title: High order method for Black-Scholes PDE
zbMATH Open document ID: 1409.91276
author: Jinhao Hu
author: Siqing Gan
publication date: 2019-03-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65M50
zbMATH DE Number: 7041117
zbMATH Keywords: option pricing
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: compact difference scheme
zbMATH Keywords: backward differentiation formula
zbMATH Keywords: grid refinement method
MaRDI profile type: Publication
full work available at URL: j.camwa.2017.12.002
OpenAlex ID: W2780430326
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cites work: High-Order Compact Finite Difference Method for Black–Scholes PDE
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cites work: Q5217718
cites work: The pricing of options and corporate liabilities
cites work: An Introduction to Numerical Analysis
DOI: 10.1016/J.CAMWA.2017.12.002
published in: Computers & Mathematics with Applications
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description: scientific article; zbMATH DE number 7041117