Abstract

AbstractIn this paper, Black–Scholes PDE is solved for European option pricing by high-order compact finite difference method using polynomial interpolation. Numerical results obtained are compared with standard finite difference method and error with the analytic solution is discussed.KeywordsOption pricingEuropean optionsBlack-Scholes PDECompact finite difference methods

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call