SOLVING GENERALIZED LINEAR MODEL OF BLACK-SCHOLES WITH CLASSICAL FINITE VOLUME METHOD
Publication:5075855
DOI10.17654/NM020010017zbMath1499.91169OpenAlexW3128242548MaRDI QIDQ5075855
Paré Daouda, Youssouf Paré, Kassiénou Lamien, Longin Some
Publication date: 12 May 2022
Published in: International Journal of Numerical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.17654/nm020010017
source termBlack-Scholes equationpremiumEuropean optionnumerical fluxdiffusion termstrike pricematurityclassical finite volume method
Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Initial-boundary value problems for linear first-order PDEs (35F16)
Cites Work