High-order Numerical Method for Generalized Black-Scholes Model
نویسندگان
چکیده
This work presents a high order numerical method for the solution of generalized Black-Scholes model for European call option. The numerical method is derived using a two-step backward differentiation formula in the temporal discretization and a High-Order Difference approximation with Identity Expansion (HODIE) scheme in the spatial discretization. The present scheme gives second order accuracy in time and third order accuracy in space. Numerical experiments are conducted in support of the theoretical results.
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