We present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme is second-order accurate in time and fourth-order accurate in space. Numerical examples confirm that a standard second-order finite difference scheme is significantly outperformed.
CITATION STYLE
Düring, B., & Heuer, C. (2016). High-Order Compact Schemes for Black-Scholes Basket Options (pp. 1095–1102). https://doi.org/10.1007/978-3-319-23413-7_152
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