Publikation: High order compact finite difference schemes for a nonlinear Black-Scholes equation
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2001
Autor:innen
Düring, Bertram
Fournié, Michel
Jüngel, Ansgar
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Zusammenfassung
A nonlinear Black-Scholes equation which models transaction costs arising in the heding of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized. The numerical results are compared to standard finite difference schemes. It turns out that the compact schemes have very satisfying stability and non-oscillatory properties and are generally more efficient than the considered classical schemes.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
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option pricing, transaction costs, parabolic equations, compact finite difference discretizations
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undefined / . - undefined, undefined
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DÜRING, Bertram, Michel FOURNIÉ, Ansgar JÜNGEL, 2001. High order compact finite difference schemes for a nonlinear Black-Scholes equationBibTex
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year={2001},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
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author={Düring, Bertram and Fournié, Michel and Jüngel, Ansgar}
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