File(s) not publicly available
High-order compact schemes for Black-Scholes basket options
chapter
posted on 2023-06-08, 19:10 authored by Bertram Duering, Christof HeuerWe present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme is second-order accurate in time and fourth-order accurate in space. Numerical examples confirm that a standard second-order finite difference scheme is significantly outperformed.
History
Publication status
- Published
Publisher
SpringerBook title
Progress in industrial mathematics at ECMI 2014ISBN
9783642427596Series
Mathematics in industryDepartment affiliated with
- Mathematics Publications
Research groups affiliated with
- Numerical Analysis and Scientific Computing Research Group Publications
Full text available
- No
Peer reviewed?
- Yes