Smoothing of initial conditions for high order approximations in option pricing
In this article the Finite Difference method is used to solve the Black Scholes equation. A second order and fourth order accurate scheme is implemented in space and evaluated. The scheme is then tried for different initial conditions. First the discontinuous pay off function of a European Call opti...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Avdelningen för beräkningsvetenskap
2016
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-302322 |