High Order Compact Methods for Black-Scholes Equation of American Options
碩士 === 國立清華大學 === 數學系所 === 106 === In this thesis, we introduce high order compact methods for the Black-Scholes equation of American call options. We compute some jump conditions depend on the free boundary. By applying the jump conditions, we can locate the free boundary more precisely. At first w...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/558uh6 |