A Laplace transform finite difference method for the Black-Scholes equation

DOI10.1016/j.mcm.2009.08.012zbMath1190.65120OpenAlexW2008772885MaRDI QIDQ984157

Jaemin Ahn, Sungkwon Kang, Yong-Hoon Kwon

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.08.012

zbMATH Keywords

finite difference methodinverse Laplace transformBlack-Scholes equation

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory ⋮ Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations ⋮ Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option

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