WENO and blended BDF discretizations for option pricing problems
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.
KeywordsOption Price Stochastic Volatility Call Option WENO Scheme Asian Option
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