High-order compact schemes for Black-Scholes basket options

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
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: 17 Apr 2015 13:35
URI: http://sro.sussex.ac.uk/id/eprint/51499
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