A new finite difference method for numerical solution of Black-Scholes PDE

MaRDI QIDQ3085387zbMATH OpenFDO

Authors P. Sargolzaei, Fazlollah Soleymani

Publication date 31 March 2011

Full work available at URL http://pphmj.com/abstract/5424.htm

zbMATH Keywords

option pricingimplicit methodBlack-Scholes PDEbackward finite difference approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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• High order method for Black-Scholes PDE
• Backward differentiation formula finite difference schemes for diffusion equations with an obstacle term
• A Laplace transform finite difference method for the Black-Scholes equation
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• A weighted finite difference method for subdiffusive Black-Scholes model
• A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
• scientific article; zbMATH DE number 5652616 (Why is no real title available?)
• A second-order finite difference scheme for a type of Black-Scholes equation
• Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
• High-order compact finite difference method for Black-Scholes PDE

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