A novel higher-order efficient computational method for pricing European and Asian options

In this article, we present a fourth-order accurate numerical method for solving generalized Black-Scholes PDE describing European and Asian options. Initially, we discretize the time derivative by the Crank-Nicolson scheme, and then the resultant semi-discrete problem by the central difference sche...

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Bibliographic Details
Published in:	Numerical algorithms Vol. 99; no. 3; pp. 1127 - 1159
Main Authors:	Bansal, Saurabh, Natesan, Srinivasan
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.07.2025 Springer Nature B.V
Subjects:	Accuracy Algebra Algorithms Computer Science Convergence Crank-Nicholson method Error analysis Numeric Computing Numerical Analysis Numerical methods Partial differential equations Securities prices Theory of Computation 65M15 Asian options Option pricing 65M06 65M012 Richardson extrapolation technique Generalized Black-Scholes equation European options Exotic options
ISSN:	1017-1398, 1572-9265
Online Access:	Get full text
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