High order compact finite difference schemes for a nonlinear Black-Scholes equation

Düring, Bertram; Fournié, Michel; Jüngel, Ansgar

High order compact finite difference schemes for a nonlinear Black-Scholes equation

Dateien

dp01-07.pdf(418.66 KB)

Datum

2001

Autor:innen

Düring, Bertram

Fournié, Michel

Jüngel, Ansgar

Schriftenreihe

CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2001/07

Publikationstyp

Working Paper/Technical Report

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.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

option pricing,transaction costs,parabolic equations,compact finite difference discretizations

Zitieren

ISO 690

DÜRING, Bertram, Michel FOURNIÉ, Ansgar JÜNGEL, 2001. High order compact finite difference schemes for a nonlinear Black-Scholes equation

BibTex

@techreport{During2001order-617,
  year={2001},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={High order compact finite difference schemes for a nonlinear Black-Scholes equation},
  number={2001/07},
  author={Düring, Bertram and Fournié, Michel and Jüngel, Ansgar}
}

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