scientific article

zbMath1224.65201MaRDI QIDQ3003696

Eva Morais, Fernando F. Gonçalves, Maria do Rosário Grossinho

Publication date: 30 May 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Cauchy problemnumerical examplesoption pricingfinite-difference methodunbounded coefficientsfinancial mathematicssecond order linear parabolic equationBlack Scholes stochastic model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (1)

Discretisation of abstract linear evolution equations of parabolic type

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