Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem (Q5498616)
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scientific article; zbMATH DE number 6399830
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| English | Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem |
scientific article; zbMATH DE number 6399830 |
Statements
Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem (English)
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10 February 2015
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Black-Scholes equation
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convection-dominated case
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exponential fitting methods
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fitted finite volume method
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Kurganov-Tadmor scheme
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minmod limiter
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0.86473817
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0.8642513
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0.8587169
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0.85713434
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0.8571189
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0.85279465
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0.85274434
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0.85274434
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