A note on the exact discretization for a Cauchy-Euler equation: application to the Black-Scholes equation

DOI10.1080/10236198.2015.1034118MaRDI QIDQ3195508zbMATH OpenOpenAlexFDO

Authors Ronald E. Mickens, Justin B. Munyakazi, Talitha M. Washington

Publication date 20 October 2015

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10236198.2015.1034118

zbMATH Keywords

Black-Scholes equationexact finite difference schemesCauchy-Euler equationsub-equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Linear ordinary differential equations and systems (34A30) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference and finite volume methods for ordinary differential equations (65L12) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites work

• scientific article; zbMATH DE number 663936 (Why is no real title available?)
• Differential and Difference Equations
• Exact finite difference scheme for linear differential equation with constant coefficients
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(4)

• Exact discretization by Fourier transforms
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Exact discretization of fractional Laplacian
• United lattice fractional integro-differentiation

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