Numerical pricing of options using high-order compact finite difference schemes

Journal of Computational and Applied Mathematics

Volumn 218, Issue 2, 2008, Pages 270-280

  Tangman, D Y ^a   Gopaul, A ^a   Bhuruth, M ^a  

^a UNIVERSITY OF MAURITIUS   (Mauritius)

Author keywords

American options; European options; Front fixing; Grid stretching; High order compact scheme

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; COSTS; GRID COMPUTING; INTERNATIONAL TRADE; PARTIAL DIFFERENTIAL EQUATIONS;

AMERICAN OPTIONS; EUROPEAN OPTIONS; FRONT FIXING; GRID STRETCHING; HIGH ORDER COMPACT SCHEMES;

ECONOMIC ANALYSIS;

EID: 44649136117     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2007.01.035     Document Type: Article

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