A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.cam.2011.01.018 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2050650133 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing: A simplified approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4344494 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some mathematical results in the pricing of American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: An upwind approach for an American and European option pricing model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Operator splitting methods for American option pricing. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Penalty methods for American options with stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Convergence for Valuing American Options Using a Penalty Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: A novel fitted finite volume method for the Black-Scholes equation governing option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of local volatilities in a generalized Black-Scholes model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5562267 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Far Field Boundary Conditions for Black--Scholes Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points / rank
 
Normal rank

Latest revision as of 03:31, 4 July 2024

scientific article
Language Label Description Also known as
English
A robust and accurate finite difference method for a generalized Black-Scholes equation
scientific article

    Statements

    A robust and accurate finite difference method for a generalized Black-Scholes equation (English)
    0 references
    0 references
    0 references
    14 June 2011
    0 references
    Black-Scholes equation
    0 references
    option valuation
    0 references
    singularity
    0 references
    central difference scheme
    0 references
    piecewise uniform mesh
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references