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

zbMATH Open1208.91157MaRDI QIDQ3085387FDOQ3085387

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)

Cited In (8)

• High order method for Black-Scholes PDE
• An adaptive finite difference method using far-field boundary conditions for the Black-Scholes equation
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
• Title not available (Why is that?)
• 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
• A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
• A weighted finite difference method for subdiffusive Black-Scholes model

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