An efficient robust computational method for solving Black-Scholes PDEs

MaRDI QIDQ6919546zbMATH OpenFDO

Authors Saurabh Bansal, Srinivasan Natesan

Publication date 8 October 2025

Published in Mathematical Communications (Search for Journal in Brave)

Full work available at URL https://hrcak.srce.hr/clanak/485510

zbMATH Keywords

Black-Scholes equationbutterfly optionoption pricingstreamline-diffusion finite element method

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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Convergence analysis of a fully-discrete FEM for singularly perturbed two-parameter parabolic PDE
• Cubic spline method for a generalized Black-Scholes equation
• Far field boundary conditions for Black-Scholes equations
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Numerical solution of generalized Black-Scholes model
• Parameter-uniform finite difference schemes for singularly perturbed parabolic diffusion-convection-reaction problems
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• Real options pricing by the finite element method
• Richardson extrapolation technique for generalized Black-Scholes PDEs for European options
• The pricing of options and corporate liabilities
• Tools for computational finance

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