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

preprint_159.pdfGröße: 455.07 KBDownloads: 466

Datum

2001

Autor:innen

Düring, Bertram

Fournié, Michel

Jüngel, Ansgar

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Informatik und Informationswissenschaft

Publikationstyp

Preprint

Publikationsstatus

Published

Zusammenfassung

A nonlinear Black-Scholes equation which models transaction costs arising in the hedging 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)

004 Informatik

Zitieren

ISO 690

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

BibTex

@unpublished{During2001order-6358,
  year={2001},
  title={High order compact finite difference schemes for a nonlinear Black-Scholes equation},
  author={Düring, Bertram and Fournié, Michel and Jüngel, Ansgar}
}

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