An improvement of the douglas scheme for the Black-Scholes equation
A well-known finite difference scheme for the valuation of options from the Black-Sholes equation is the Crank-Nicolson scheme. However, in the case of non-smoothpayoffs, the Crank-Nicolson scheme is known to produce unwanted oscillations forthe computed solution. As an alternative, Douglas scheme i...
| 出版年: | Kuwait Journal of Science |
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| 第一著者: | |
| フォーマット: | 論文 |
| 言語: | 英語 |
| 出版事項: |
Elsevier
2015-09-01
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| 主題: | |
| オンライン･アクセス: | http://journals.ku.edu.kw/kjs/index.php/KJS/article/view/343 |