A novel fitted finite volume method for the Black-Scholes equation governing option pricing

DOI10.1093/imanum/24.4.699zbMath1147.91332OpenAlexW2156690247MaRDI QIDQ4653112

Songgui Wang

Publication date: 28 February 2005

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/24.4.699

zbMATH Keywords

option pricingPetrov-Galerkin methodBlack-Scholes equationfitted finite volume methoddegenerate partial differential equation

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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