A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200): Difference between revisions
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Property / Mathematics Subject Classification ID: 65M06 / rank | |||
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Black-Scholes equation | |||
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option valuation | |||
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singularity | |||
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central difference scheme | |||
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piecewise uniform mesh | |||
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Revision as of 12:00, 1 July 2023
scientific article
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English | A robust and accurate finite difference method for a generalized Black-Scholes equation |
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Statements
A robust and accurate finite difference method for a generalized Black-Scholes equation (English)
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14 June 2011
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Black-Scholes equation
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option valuation
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singularity
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central difference scheme
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piecewise uniform mesh
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