High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation
We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are discussed.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatia…
ADI finite difference schemes for the Heston-Hull-White PDE
In this paper we investigate the effectiveness of Alternating Direction Implicit (ADI) time discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial differential equation, which…
A High Order Method for Pricing of Financial Derivatives using Radial Basis Function generated Finite Differences
In this paper, we consider the numerical pricing of financial derivatives using Radial Basis Function generated Finite Differences in space. Such discretization methods have the advantage of not requiring Cartesian grids…
High-order compact schemes for Black-Scholes basket options
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 four…
Vocal Bursts Intensity PredictionEvolutionary Design of Numerical Methods: Generating Finite Difference and Integration Schemes by Differential Evolution
Classical and new numerical schemes are generated using evolutionary computing. Differential Evolution is used to find the coefficients of finite difference approximations of function derivatives, and of single and multi…