WENO and blended BDF discretizations for option pricing problems

  • C. W. Oosterlee
  • F. J. Gaspar
  • J. C. Frisch
Conference paper


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.


Option Price Stochastic Volatility Call Option WENO Scheme Asian Option 
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Copyright information

© Springer-Verlag Italia 2003

Authors and Affiliations

  • C. W. Oosterlee
    • 1
  • F. J. Gaspar
    • 2
  • J. C. Frisch
    • 1
  1. 1.Fraunhofer Institute for Algorithms and Scientific Computing (SCAI)Sankt AugustinGermany
  2. 2.CPSUniversity of ZaragozaZaragozaSpain

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