Analysis of a hybrid finite difference scheme for the Black-Scholes equation governing option pricing

zbMATH Open1395.91493MaRDI QIDQ4585602FDOQ4585602

Authors: Zhongdi Cen, Anbo Le, Lifeng Xi 

Publication date: 6 September 2018

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (3)

• Title not available (Why is that?)
• Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
• A robust and accurate finite difference method for a generalized Black-Scholes equation

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