High-order compact schemes for Black-Scholes basket options
chapter
posted on 2023-06-08, 19:10authored byBertram Duering, Christof Heuer
We 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
Springer
Book title
Progress in industrial mathematics at ECMI 2014
ISBN
9783642427596
Series
Mathematics in industry
Department affiliated with
Mathematics Publications
Research groups affiliated with
Numerical Analysis and Scientific Computing Research Group Publications