Düring, Bertram and Heuer, Christof (2015) High-order compact schemes for Black-Scholes basket options. In: Progress in industrial mathematics at ECMI 2014. Mathematics in industry . Springer. ISBN 9783642427596

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Abstract

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.

Item Type:	Book Section
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Research Centres and Groups:	Numerical Analysis and Scientific Computing Research Group
Subjects:	Q Science > QA Mathematics Q Science > QA Mathematics > QA0297 Numerical analysis
Depositing User:	Bertram During
Date Deposited:	24 Mar 2015 12:55
Last Modified:	07 Sep 2017 09:20
URI:	http://srodev.sussex.ac.uk/id/eprint/51499

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