A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costs
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
Abstract: In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.
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