Low volatility options and numerical diffusion of finite difference schemes
Black-Scholes equationCrank-Nicolson methoddiscounted payoff optionsexponential fittingfinite difference schemeslow volatility optionsMilev-Tagliani methodnon-smooth initial conditionsnumerical diffusionoption pricingspurious oscillations
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods (including Monte Carlo methods) (91G60)
- Nonstandard finite difference schemes with application to finance: option pricing
- Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models
- Nonstandard finite difference schemes for the Black-Scholes equation
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Optimal and near-optimal advection-diffusion finite-difference schemes. III: Black-Scholes equation
- Radial basis functions with application to finance: American put option under jump diffusion
- Efficient implicit scheme with positivity preserving and smoothing properties
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
- Nonstandard finite difference schemes with application to finance: option pricing
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
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