High-order compact schemes for Black-Scholes basket options
Computational Finance
2015-05-29 v1 Numerical Analysis
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.
Cite
@article{arxiv.1505.07613,
title = {High-order compact schemes for Black-Scholes basket options},
author = {Bertram Düring and Christof Heuer},
journal= {arXiv preprint arXiv:1505.07613},
year = {2015}
}
Comments
5 pages