Fourth Order Scheme for Wavelet Based Solution of Black-Scholes Equation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F17%3A00005129" target="_blank" >RIV/46747885:24510/17:00005129 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1063/1.5013963" target="_blank" >http://dx.doi.org/10.1063/1.5013963</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.5013963" target="_blank" >10.1063/1.5013963</a>

Result language
angličtina
Original language name
Fourth Order Scheme for Wavelet Based Solution of Black-Scholes Equation
Original language description
Present paper is devoted to the numerical solution of the Black-Scholes equation for pricing European options. We apply the Crank-Nicolson scheme with Richardson extrapolation for time discretization and Hermite cubic spline wavelets with four vanishing moments for space discretization. This scheme is the fourth order accurate both in time and in space. Computational results indicate that the Crank-Nicolson scheme with Richardson extrapolation significantly decreases the amount of computational work. We also numerically show that optimal convergence rate for the used scheme is obtained without using startup procedure despite the data irregularities in the model.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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