A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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Publication:4653112
DOI10.1093/imanum/24.4.699zbMath1147.91332OpenAlexW2156690247MaRDI QIDQ4653112
Publication date: 28 February 2005
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/24.4.699
option pricingPetrov-Galerkin methodBlack-Scholes equationfitted finite volume methoddegenerate partial differential equation
Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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