Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

DOI10.1007/S00211-006-0057-7zbMath1131.65301OpenAlexW2048956060WikidataQ59416199 ScholiaQ59416199MaRDI QIDQ878048

Lutz Angermann, Songgui Wang

Publication date: 26 April 2007

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-006-0057-7

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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