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High-order compact finite difference schemes for option pricing

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High-order compact finite difference schemes for option pricing
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5
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CC Attribution - NonCommercial - NoDerivatives 4.0 International:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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In the hedging of electricity increasingly option contracts which are well-known in finance and risk management play an important role. The efficient pricing of option contracts is essential to facilitate their use in real-world hedging. In this talk we present a class of high-order compact finite difference schemes which are very efficient and at the same time parsimonious and memory-efficient to implement. We discuss stability and convergence results, and present results of numerical experiments.