Publication:4647038

DOI10.22130/scma.2017.19335zbMath1413.65323MaRDI QIDQ4647038

Mohammad Mehdizadeh Khalsaraei, Nashmil Osmani

Publication date: 4 January 2019

zbMATH Keywords

option pricing; finite difference scheme; Black-Scholes equation; positivity-preserving

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

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

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

65L12: Finite difference and finite volume methods for ordinary differential equations