University of Sussex
Browse

File(s) not publicly available

High-order compact schemes for Black-Scholes basket options

chapter
posted on 2023-06-08, 19:10 authored by Bertram 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

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2015-03-24

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC