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

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+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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+M06
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@@ Property / Mathematics Subject Classification ID: 65M50 / rank @@
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@@ Property / zbMATH DE Number: 5907701 / rank @@
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@@ Property / zbMATH Keywords @@
+Black-Scholes equation
@@ Property / zbMATH Keywords: Black-Scholes equation / rank @@
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@@ Property / zbMATH Keywords @@
+option valuation
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@@ Property / zbMATH Keywords @@
+singularity
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@@ Property / zbMATH Keywords @@
+central difference scheme
@@ Property / zbMATH Keywords: central difference scheme / rank @@
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@@ Property / zbMATH Keywords @@
+piecewise uniform mesh
@@ Property / zbMATH Keywords: piecewise uniform mesh / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2011.01.018
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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@@ Property / cites work @@
+Q4344494
@@ Property / cites work: Q4344494 / rank @@
+Normal rank
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+Some mathematical results in the pricing of American options
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+An upwind approach for an American and European option pricing model
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+Operator splitting methods for American option pricing.
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+Penalty methods for American options with stochastic volatility
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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+Estimation of local volatilities in a generalized Black-Scholes model
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+Q5562267
@@ Property / cites work: Q5562267 / rank @@
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:544200