scientific article

zbMath1224.65205MaRDI QIDQ3000764

Mariyan Milev, Aldo Tagliani

Publication date: 30 May 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingfinite difference schemesCrank-Nicolson schemeM-matrixBlack-Scholes equationJacobi matrixpositivity-preservingnonsmooth initial conditions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Radial basis functions with application to finance: American put option under jump diffusion ⋮ Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation ⋮ Unnamed Item

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