Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval

DOI10.1007/s11075-013-9701-3zbMath1287.65071arXiv1211.1903MaRDI QIDQ393762

Radoslav L. Valkov

Publication date: 24 January 2014

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.1903

zbMATH Keywords

convergence; numerical experiments; positivity; degenerate parabolic equation; Crank-Nicolson; theta method; fitted finite volume method; Gårding coercivity; generalized Black-Scholes equation; L-spline; Scharfetter-Gummel; weighted difference

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

35K65: Degenerate parabolic equations

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65M08: Finite volume methods for initial value and initial-boundary value problems involving PDEs

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