An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

DOI10.1016/J.AMC.2012.12.077zbMath1288.91193DBLPjournals/amc/LesmanaW13OpenAlexW2063708794WikidataQ59416166 ScholiaQ59416166MaRDI QIDQ2453260

Donny Citra Lesmana, Songgui Wang

Publication date: 6 June 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.12.077

zbMATH Keywords

stabilityconvergenceoption pricingNewton methodnonlinear Black-Scholes equationupwind finite difference method

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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