Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
DOI10.1155/2021/6679484zbMath1477.91060OpenAlexW3163627781WikidataQ113268332 ScholiaQ113268332MaRDI QIDQ2036089
Publication date: 28 June 2021
Published in: Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2021/6679484
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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