Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation

DOI10.1080/00207160.2015.1069818zbMath1335.91111OpenAlexW1873380358MaRDI QIDQ2804501

Radoslav L. Valkov

Publication date: 29 April 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2015.1069818

zbMATH Keywords

consistencystrong stability-preservingBlack-Scholes-Barenblattfitted finite volume

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items

Fast computational approach to the delta Greek of non-linear Black-Scholes equations, Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options, Computation of Delta Greek for Non-linear Models in Mathematical Finance

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