Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation

DOI10.1155/2021/6679484MaRDI QIDQ2036089zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 28 June 2021

Published in Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/6679484

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

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• On the numerical solution of nonlinear Black-Scholes equations
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations
• A positivity-preserving numerical scheme for nonlinear option pricing models
• Optimal non-uniform finite difference grids for the Black-Scholes equations
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