Abstract

The Trapezoidal Rule with Second Order Backward Difference Formula (TR-BDF2) finite difference scheme is applied to the Black-Scholes-Merton PDE on a non uniform grid. American Option Convergence and Greeks stability is studied against studied against popular alternatives, namely Crank-Nicolson and Rannacher time-marching.

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