Far field boundary conditions for Black-Scholes equations
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Publication:2706366
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- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
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- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
- On the valuation of interest rate products under multi-factor HJM term-structures
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Laplace transformation method for the Black-Scholes equation
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects
- Numerical solution of two asset jump diffusion models for option valuation
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