A numerical study of Asian option with high-order compact finite difference scheme

Journal of Applied Mathematics and Computing ◽

10.1007/s12190-017-1115-2 ◽

2017 ◽

Vol 57 (1-2) ◽

pp. 467-491 ◽

Author(s):

Kuldip Singh Patel ◽

Mani Mehra

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Numerical Study ◽

Asian Option ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-Order Compact Finite Difference Scheme for Pricing Asian Option with Moving Boundary Condition

Differential Equations and Dynamical Systems ◽

10.1007/s12591-017-0372-8 ◽

2017 ◽

Vol 27 (1-3) ◽

pp. 39-56 ◽

Author(s):

Kuldip Singh Patel ◽

Mani Mehra

Keyword(s):

Boundary Condition ◽

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Moving Boundary ◽

Asian Option ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Moving Boundary Condition

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Analysis of a conservative high-order compact finite difference scheme for the Klein–Gordon–Schrödinger equation

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.02.018 ◽

2019 ◽

Vol 358 ◽

pp. 84-96 ◽

Author(s):

Jialing Wang ◽

Dong Liang ◽

Yushun Wang

Keyword(s):

Finite Difference ◽

Schrödinger Equation ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Schrodinger Equation ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

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Convergence of a high-order compact finite difference scheme for the Klein-Gordon-Schrödinger equations

Applied Numerical Mathematics ◽

10.1016/j.apnum.2019.03.004 ◽

2019 ◽

Vol 143 ◽

pp. 133-145 ◽

Author(s):

Juan Chen ◽

Fangqi Chen

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Schrodinger Equations ◽

Schrödinger Equations ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1646885 ◽

2010 ◽

Author(s):

Bertram Düring ◽

Michel Fournie

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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A new conservative nonlinear high-order compact finite difference scheme for the general Rosenau-RLW equation

Boundary Value Problems ◽

10.1186/s13661-015-0336-2 ◽

2015 ◽

Vol 2015 (1) ◽

Author(s):

Huan Wang ◽

Jue Wang ◽

Shuguang Li

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Rlw Equation ◽

Nonlinear High Order

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High-Order Compact Finite Difference Scheme for Euler–Bernoulli Beam Equation

Harmony Search and Nature Inspired Optimization Algorithms - Advances in Intelligent Systems and Computing ◽

10.1007/978-981-13-0761-4_35 ◽

2018 ◽

pp. 357-370 ◽

Author(s):

Maheshwar Pathak ◽

Pratibha Joshi

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Beam Equation ◽

Bernoulli Beam ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Euler Bernoulli Beam

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models

SSRN Electronic Journal ◽

10.2139/ssrn.2954523 ◽

2017 ◽

Author(s):

Bertram DDring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-order compact finite difference scheme for option pricing in stochastic volatility jump models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.01.043 ◽

2019 ◽

Vol 355 ◽

pp. 201-217 ◽

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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Numerical simulation of structural dynamics using a high-order compact finite-difference scheme

Applied Mathematical Modelling ◽

10.1016/j.apm.2015.09.067 ◽

2016 ◽

Vol 40 (3) ◽

pp. 2431-2453 ◽

Author(s):

Kazem Hejranfar ◽

Kaveh Parseh

Keyword(s):

Numerical Simulation ◽

Finite Difference ◽

Difference Scheme ◽

Structural Dynamics ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-Order Compact Finite-Difference Scheme for Singularly-Perturbed Reaction-Diffusion Problems on a New Mesh of Shishkin Type

Journal of Optimization Theory and Applications ◽

10.1007/s10957-009-9547-y ◽

2009 ◽

Vol 143 (1) ◽

pp. 123-147 ◽

Author(s):

V. Kumar

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Reaction Diffusion ◽

Singularly Perturbed ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Diffusion Problems

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