An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs |
scientific article |
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An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (English)
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6 June 2014
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nonlinear Black-Scholes equation
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option pricing
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upwind finite difference method
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convergence
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stability
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Newton method
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