Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model

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• 作者：Miglena N. Koleva ; Walter Mudzimbabwe ; Lubin G. Vulkov
• 关键词：Option pricing ; High ; order compact difference scheme ; Convergence ; Richardson extrapolation
• 刊名：Numerical Algorithms
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：74
• 期：1
• 页码：59-75
• 全文大小：
• 刊物类别：Computer Science
• 刊物主题：Numeric Computing; Algorithms; Algebra; Theory of Computation; Numerical Analysis;
• 出版者：Springer US
• ISSN：1572-9265
• 卷排序：74

文摘

This paper provides a numerical investigation for European options under parabolic-ordinary system modeling markets to liquidity shocks. Our main results concern construction and analysis of fourth order in space compact finite difference schemes (CFDS). Numerical experiments using Richardson extrapolation in time are discussed.