Publication:3534745

zbMath1153.91476MaRDI QIDQ3534745

Rafael Company, Enrique Ponsoda, Lucas Jodar

Publication date: 4 November 2008

zbMATH Keywords

semidiscretization; numerical solution; Black-Scholes equation; variable yield; discrete dividends

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G20: Derivative securities (option pricing, hedging, etc.)

35K15: Initial value problems for second-order parabolic equations