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Journal of Applied Mathematics and Computing

Erschienen in:

15.05.2017 | Original Research

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

verfasst von: Kuldip Singh Patel, Mani Mehra

Erschienen in: Journal of Applied Mathematics and Computing | Ausgabe 1-2/2018

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Abstract

In this paper, an unconditionally stable compact finite difference scheme is proposed for the solution of Asian option partial differential equation. Second derivative approximations of the unknowns are eliminated with the unknowns itself and their first derivative approximations while retaining the fourth order accuracy and tri-diagonal nature of the scheme. Proposed compact finite difference scheme is fourth order accurate in spatial variable and second order accurate in temporal variable. Moreover, consistency, stability and convergence of the proposed compact finite difference scheme is proved and it is shown that proposed compact finite difference scheme is unconditionally stable. It is shown that for a given accuracy, proposed compact finite difference scheme is significantly efficient as compared to the central difference scheme. Numerical results are given to validate the theoretical results.

Vorheriger Artikel Dynamics and simulations of a stochastic predator-prey model with infinite delay and impulsive perturbations

Nächster Artikel Dynamics of nonlinear difference equation

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Titel: A numerical study of Asian option with high-order compact finite difference scheme
verfasst von: Kuldip Singh Patel
Mani Mehra
Publikationsdatum: 15.05.2017
Verlag: Springer Berlin Heidelberg
Erschienen in: Journal of Applied Mathematics and Computing / Ausgabe 1-2/2018
Print ISSN: 1598-5865
Elektronische ISSN: 1865-2085
DOI: https://doi.org/10.1007/s12190-017-1115-2

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