Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
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Publication:1723304
DOI10.1155/2015/359028zbMath1418.35213OpenAlexW2006977074WikidataQ59105845 ScholiaQ59105845MaRDI QIDQ1723304
Junseok Kim, Seungsuk Seo, Dongsun Lee, Darae Jeong, Hyeongseok Hwang, Yongho Choi
Publication date: 19 February 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2015/359028
Initial-boundary value problems for second-order parabolic equations (35K20) Theoretical approximation in context of PDEs (35A35)
Related Items (4)
Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations ⋮ A robust spline collocation method for pricing American put options
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