Numerical solution of generalized Black-Scholes model

DOI10.1016/j.amc.2017.10.004zbMath1427.91294OpenAlexW2770641614MaRDI QIDQ2423065

S. Manisha, S. Chandra Sekhara Rao

Publication date: 21 June 2019

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

Full work available at URL: https://doi.org/10.1016/j.amc.2017.10.004

zbMATH Keywords

two-step backward differentiation formuladegenerate parabolic partial differential equationgeneralized Black-Scholes modelHODIE (high-order difference approximation with identity expansions) scheme

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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