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Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model

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References

2005Computational Methods for Option Pricing376 cited
2007Numerical pricing of options using high-order compact finite difference schemes86 cited
2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation78 cited
2005Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30)70 cited
2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation52 cited
2009High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost48 cited
2013EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS36 cited

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2020Finite Difference Method for the Multi-Asset Black–Scholes Equations22 cited

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