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

DOI10.1155/2021/6679484zbMATH Open1477.91060OpenAlexW3163627781WikidataQ113268332 ScholiaQ113268332MaRDI QIDQ2036089FDOQ2036089

Authors: Yanyan Li 

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

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Mathematics Subject Classification ID

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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Cited In (29)

• Nonstandard finite difference schemes for the Black-Scholes equation
• Optimal non-uniform finite difference grids for the Black-Scholes equations
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Numerical methods for non-linear Black-Scholes equations
• Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations
• On a high-order Gaussian radial basis function generated Hermite finite difference method and its application
• Numerical solution of the non-local Black-Scholes model by means of discrete mollification
• The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
• On the numerical solution of nonlinear Black-Scholes equations
• A numerical method for European option pricing with transaction costs nonlinear equation
• An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
• 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
• Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
• A unified numerical approach for a large class of nonlinear Black-Scholes models
• Nonstandard finite difference schemes with application to finance: option pricing
• A positivity-preserving numerical scheme for nonlinear option pricing models
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• A family of positive nonstandard numerical methods with application to Black-Scholes equation
• Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
• A note on the exact discretization for a Cauchy-Euler equation: application to the Black-Scholes equation
• Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
• 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
• High accurate modified WENO method for the solution of Black-Scholes equation
• A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

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