García-Rubio, Raquel - In: International Journal of Financial Markets and Derivatives 2 (2011) 3, pp. 236-243
We discuss the accurate numerical solution of Black-Scholes differential equations. We check that the stochastic part of the equation could convert small round-off or truncation errors in big errors. However, the numerical method used are low order even in the non-stochastic case due to the...