Conservative Third-Order Central-Upwind Schemes for Option Pricing Problems

Omishwary Bhatoo, Arshad Ahmud Iqbal Peer, Eitan Tadmor, Désiré Yannick Tangman, Aslam Aly El Faidal Saib

Type: Article

Publication Date: 2019-07-26

Citations: 2

DOI: https://doi.org/10.1007/s10013-019-00360-8

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Locations

Vietnam Journal of Mathematics - View

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Works Cited by This (13)

Action	Title	Year	Authors
+	Efficient implementation of essentially non-oscillatory shock-capturing schemes, II	1989	Chi‐Wang Shu Stanley Osher
+	An Artificial Boundary Method for American Option Pricing under the CEV Model	2008	Hoi Ying Wong Jing Zhao
+	On the Full and Global Accuracy of a Compact Third Order WENO Scheme	2014	Oliver Kolb
+ PDF Chat	Efficient Implementation of Weighted ENO Schemes	1996	Guang-Shan Jiang Chi‐Wang Shu
+	Semidiscrete Central-Upwind Schemes for Hyperbolic Conservation Laws and Hamilton--Jacobi Equations	2001	Alexander Kurganov Sebastian Noelle Guergana Petrova
+	Third order nonoscillatory central scheme for hyperbolic conservation laws	1998	Xudong Liu Eitan Tadmor
+	Efficient High-Order Numerical Methods for Pricing of Options	2013	Mojtaba Hajipour Alaeddin Malek
+	High order explicit methods for parabolic equations	1998	Alexei A. Medovikov
+	The MATLAB ODE Suite	1997	L. F. Shampine Mark W. Reichelt
+	New High-Resolution Central Schemes for Nonlinear Conservation Laws and Convection–Diffusion Equations	2000	Alexander Kurganov Eitan Tadmor