求解Black-Scholes方程的精度紧致有限差分格式

A Fourth-order Compact Finite Difference Scheme for Solving the Black-Scholes Equation

针对单个Black-Scholes方程提出一种具有空间四阶精度的紧致有限差分格式,利用离散能量法分析了其稳定性和收敛性,并通过数值算例结果证实了理论分析.

Stability and convergence on a fourth--order accurate, with respect to space, compact finite difference scheme for solving the Black-Scholes equation are analyzed by using the discrete energy method. The obtained numerical results coincide with the theoretical analysis.