Far field boundary conditions for Black-Scholes equations
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Publication:2706366
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- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- Projection and contraction method for the valuation of American options
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- AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
- Spectral element methods a priori and a posteriori error estimates for penalized unilateral obstacle problem
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models
- Cubic spline method for a generalized Black-Scholes equation
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
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