Abstract
In this chapter we study by numerical experiments the performance of spatial discretizations introduced in Chapters 3 and 4. Here a call option under the Black–Scholes framework, discussed in Chapter 1, is considered. This forms a prototype for many, more advanced financial applications and the obtained insights are of general importance.
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Notes
- 1.
When computing discretization errors, the semidiscrete solution is approximated to high accuracy by applying a suitable temporal discretization method using a very small step size.
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in ’t Hout, K. (2017). Numerical Study: Space. In: Numerical Partial Differential Equations in Finance Explained. Financial Engineering Explained. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-43569-9_5
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DOI: https://doi.org/10.1057/978-1-137-43569-9_5
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-43568-2
Online ISBN: 978-1-137-43569-9
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