Summary
In this paper, we discuss several topics for a fast and accurate solution to high-dimensional (4D, 5D, 6D) time-dependent partial differential equations arising in option pricing theory. In this paper, however, we solve numerically a 1D reference problem based on the simple Black-Scholes equation with high order discretization schemes in space and time.
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Oosterlee, C.W., Gaspar, F.J., Frisch, J.C. (2003). WENO and blended BDF discretizations for option pricing problems. In: Brezzi, F., Buffa, A., Corsaro, S., Murli, A. (eds) Numerical Mathematics and Advanced Applications. Springer, Milano. https://doi.org/10.1007/978-88-470-2089-4_39
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DOI: https://doi.org/10.1007/978-88-470-2089-4_39
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-2167-9
Online ISBN: 978-88-470-2089-4
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