High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

DOI10.1142/S0219024903002183zbMath1070.91024OpenAlexW3121209513MaRDI QIDQ4812335

Bertram Düring, Michel Fournié, Ansgar Jüngel

Publication date: 7 September 2004

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024903002183

zbMATH Keywords

option pricingparabolic equationstransaction costs

Mathematics Subject Classification ID

Related Items (35)

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Cites Work

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