Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition (Q5213111)
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scientific article; zbMATH DE number 7161365
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| English | Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition |
scientific article; zbMATH DE number 7161365 |
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31 January 2020
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option pricing
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Black-Scholes equation
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finite difference method
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greeks
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boundary condition
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FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION (English)
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0.847444474697113
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0.8237759470939636
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0.8206263780593872
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0.8150343894958496
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