Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations (Q901413)
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scientific article; zbMATH DE number 6528828
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| English | Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations |
scientific article; zbMATH DE number 6528828 |
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Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations (English)
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12 January 2016
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nonlinear PDE
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asymptotic formula
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Newton's method
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finite difference method
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option pricing
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Black-Scholes equation
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0.8956669
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0.8956334
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0.89125466
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0.8842557
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0.87942183
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0.87845755
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0.8781047
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0.87772274
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0.8767122
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