Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models

DOI10.1007/978-3-642-18466-6_45zbMath1318.91195OpenAlexW1604111550MaRDI QIDQ3075290

Tatiana Chernogorova, Radoslav L. Valkov

Publication date: 11 February 2011

Published in: Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18466-6_45

zbMATH Keywords

finite volumefinite differenceBlack-Scholes equationdynamical boundary condition

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cites Work

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