An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
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Publication:2453260
DOI10.1016/j.amc.2012.12.077zbMath1288.91193OpenAlexW2063708794WikidataQ59416166 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
stabilityconvergenceoption pricingNewton methodnonlinear Black-Scholes equationupwind finite difference method
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)
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