Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval (Q2514271)
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scientific article; zbMATH DE number 6394936
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| English | Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval |
scientific article; zbMATH DE number 6394936 |
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Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval (English)
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3 February 2015
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The author is concerned with the convergence analysis of a positivity-preserving fitted finite volume element method for a generalized Black-Scholes equation on finite intervals, featuring degeneracies at both boundary points. The approach consists in formulating the problem in a Galerkin-Petrov setting by means of spatial discretization. Then, the Garding-type coercivity for the associated bilinear form is established. Stability and error bounds for the solution of the fully discrete system are obtained.
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generalized Black-Scholes equation
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degenerate parabolic equation
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finite volume element method
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stability
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error bound
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0.8641722798347473
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0.8619052171707153
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0.8618397116661072
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0.8288995623588562
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0.8093038201332092
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