A unified numerical approach for a large class of nonlinear Black-Scholes models
DOI10.1007/978-3-319-73441-5_64zbMATH Open1476.91219OpenAlexW2782285645MaRDI QIDQ3297465FDOQ3297465
Authors: Miglena N. Koleva, Lubin G. Vulkov 
Publication date: 20 July 2020
Published in: Large-Scale Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-73441-5_64
Recommendations
- On the numerical solution of nonlinear Black-Scholes equations
- Numerical methods for non-linear Black-Scholes equations
- Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
- Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
Cites Work
- Numerical convergence properties of option pricing PDEs with uncertain volatility
- Title not available (Why is that?)
- A generalized Newton method for absolute value equations
- Title not available (Why is that?)
- On splitting-based numerical methods for nonlinear models of European options
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- On generalized Traub's method for absolute value equations
- Title not available (Why is that?)
- Nonlinear Parabolic Equations Arising in Mathematical Finance
Cited In (6)
- Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
- Numerical methods for non-linear Black-Scholes equations
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
- Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
- Positivity Preserving Numerical Method for Non-linear Black-Scholes Models
This page was built for publication: A unified numerical approach for a large class of nonlinear Black-Scholes models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3297465)
