Hajipour, Mojtaba; Malek, Alaeddin - In: Computational Economics 45 (2015) 1, pp. 31-47
In this paper we present efficient high-order methods based on weighted essentially non-oscillatory (WENO) technique and backward differencing formula (BDF) to solve the European and American put options of the Black–Scholes equation. In order to achieve high-order convergent and prevent the...
