Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
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Publication:2036089
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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)
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Cites work
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- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 7104078 (Why is no real title available?)
- scientific article; zbMATH DE number 7104079 (Why is no real title available?)
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
- A new positivity‐preserving nonstandard finite difference scheme for the DWE
- A numerical method for European option pricing with transaction costs nonlinear equation
- A positive and elementary stable nonstandard explicit scheme for a mathematical model of the influenza disease
- A positivity-preserving numerical scheme for nonlinear option pricing models
- A positivity‐preserving nonstandard finite difference scheme for the damped wave equation
- An improvement on the positivity results for 2-stage explicit Runge-Kutta methods
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
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- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
- High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
- Homotopy perturbation method: a new nonlinear analytical technique
- Low volatility options and numerical diffusion of finite difference schemes
- Nonstandard finite difference schemes with application to finance: option pricing
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- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Numerical valuation of discrete double barrier options
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
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- The homotopy perturbation method for the Black–Scholes equation
- Variational iteration method: New development and applications
Cited in
(29)- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
- A unified numerical approach for a large class of nonlinear Black-Scholes models
- Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
- On the numerical solution of nonlinear Black-Scholes equations
- A numerical method for European option pricing with transaction costs nonlinear equation
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- A note on the exact discretization for a Cauchy-Euler equation: application to the Black-Scholes equation
- On a high-order Gaussian radial basis function generated Hermite finite difference method and its application
- A splitting flux limiter finite difference scheme for the nonlinear Black-Scholes equation
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- High accurate modified WENO method for the solution of Black-Scholes equation
- Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
- Nonstandard finite difference schemes with application to finance: option pricing
- Numerical methods for non-linear Black-Scholes equations
- An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
- Nonstandard finite difference schemes for the Black-Scholes equation
- Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis
- Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
- A positivity-preserving numerical scheme for nonlinear option pricing models
- On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
- Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- Numerical solution of the non-local Black-Scholes model by means of discrete mollification
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