High accurate modified WENO method for the solution of Black-Scholes equation

DOI10.1007/s40314-013-0108-5zbMath1314.91238OpenAlexW1968900504MaRDI QIDQ2342892

Alaeddin Malek, Mojtaba Hajipour

Publication date: 29 April 2015

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-013-0108-5

zbMATH Keywords

Black-Scholes equationhigh-order methodgrid stretchingmodified WENO method

Mathematics Subject Classification ID

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) Theoretical approximation in context of PDEs (35A35) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

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