An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

DOI10.1016/j.amc.2012.12.077zbMath1288.91193WikidataQ59416166 ScholiaQ59416166MaRDI QIDQ2453260

Donny Citra Lesmana, Songgui Wang

Publication date: 6 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.amc.2012.12.077

zbMATH Keywords

stability; convergence; option pricing; Newton method; nonlinear Black-Scholes equation; upwind finite difference method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

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