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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
Full text not available from this repository.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 |
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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 |