Numerical pricing of options using high-order compact finite difference schemes
نویسندگان
چکیده
منابع مشابه
High Order Compact Finite Difference Schemes for Solving Bratu-Type Equations
In the present study, high order compact finite difference methods is used to solve one-dimensional Bratu-type equations numerically. The convergence analysis of the methods is discussed and it is shown that the theoretical order of the method is consistent with its numerical rate of convergence. The maximum absolute errors in the solution at grid points are calculated and it is shown that the ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2008
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.01.035