A highly accurate adaptive finite difference solver for the Black-Scholes equation

International Journal of Computer Mathematics

Volumn 86, Issue 12, 2009, Pages 2104-2121

  Linde, Gunilla ^a   Persson, Jonas ^a   Von Sydow, Lina ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

Accurate; Adaptive method; Finite difference method; High order approximation; Option pricing

Indexed keywords

ACCURATE; ADAPTIVE METHODS; BLACK SCHOLES EQUATIONS; DISCRETIZATIONS; FIRST DERIVATIVE; HIGH-ORDER APPROXIMATION; OPTION PRICING; RATE OF CONVERGENCE;

FINITE DIFFERENCE METHOD;

TIME DOMAIN ANALYSIS;

EID: 74849087558     PISSN: 00207160     EISSN: 10290265     Source Type: Journal    
DOI: 10.1080/00207160802140023     Document Type: Article

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