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

DOI10.1080/10236198.2015.1034118zbMATH Open1326.65095OpenAlexW2025377212MaRDI QIDQ3195508FDOQ3195508

Justin B. Munyakazi, Ronald E. Mickens, 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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• The Mathematics of Financial Derivatives
• Differential and Difference Equations
• Exact finite difference scheme for linear differential equation with constant coefficients

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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