A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
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Publication:2256464
DOI10.1016/j.mcm.2011.11.009zbMath1305.91238OpenAlexW2037087448WikidataQ57572545 ScholiaQ57572545MaRDI QIDQ2256464
Abraham J. Arenas, Gilberto González-Parra, Blas Melendez Caraballo
Publication date: 19 February 2015
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.11.009
Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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