On the numerical solution of nonlinear Black-Scholes equations

DOI10.1016/j.camwa.2008.02.005zbMath1155.65367OpenAlexW2015726575MaRDI QIDQ1004743

Matthias Ehrhardt, Julia Ankudinova

Publication date: 12 March 2009

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2008.02.005

zbMATH Keywords

finite difference schemestransaction costsnonlinear Black-Scholes equationAmerican and European options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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