A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
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Publication:3448354
DOI10.1002/num.21941zbMath1422.91774OpenAlexW2119303271WikidataQ59416154 ScholiaQ59416154MaRDI QIDQ3448354
Shuhua Zhang, Zhi-Wei Fang, Songgui Wang
Publication date: 23 October 2015
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21941
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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