Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

DOI10.1051/m2an:2004018zbMath1124.91031OpenAlexW2102583609MaRDI QIDQ5315457

Michel Fournié, Ansgar Jüngel, Bertram Düring

Publication date: 8 September 2005

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=M2AN_2004__38_2_359_0

zbMATH Keywords

viscosity solutionsfinancial derivatives

Mathematics Subject Classification ID

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) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites Work

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