Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data (Q5311037)

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scientific article; zbMATH DE number 5200994
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Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data
scientific article; zbMATH DE number 5200994

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    Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data (English)
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    15 October 2007
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    Black-Scholes equation
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    singularly perturbed parabolic equations
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    nonsmooth initial data
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    interior layer
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    difference scheme
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    additive splitting of singularities
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    convergence
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