Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
DOI10.1080/00207160.2015.1069818zbMATH Open1335.91111OpenAlexW1873380358MaRDI QIDQ2804501FDOQ2804501
Authors: R. 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
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Cites Work
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- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- A computational scheme for uncertain volatility model in option pricing
- Stepsize Conditions for Boundedness in Numerical Initial Value Problems
- A finite volume scheme for nonlinear parabolic equations derived from one-dimensional local Dirichlet problems
- B-convergence of the implicit midpoint rule and the trapezoidal rule
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
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- The COS method for pricing options under uncertain volatility
Cited In (8)
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Computation of Delta Greek for Non-linear Models in Mathematical Finance
- Discretization of the Black-Scholes operator with a natural left-hand side boundary condition
- Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- On the derivation and numerical solution of the Black Scholes Barenblatt equation for jump diffusion
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
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