Solving generalized linear model of Black-Scholes with classical finite volume method

DOI10.17654/NM020010017MaRDI QIDQ5075855zbMATH OpenOpenAlexFDO

Authors Paré Daouda, Kassiénou Lamien, Pare Youssouf, Longin Some

Publication date 12 May 2022

Published in International Journal of Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/nm020010017

zbMATH Keywords

European optionBlack-Scholes equationnumerical fluxsource termdiffusion termpremiumstrike pricematurityclassical finite volume method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Initial-boundary value problems for linear first-order PDEs (35F16)

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Cites work

• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• Finite Volume Methods for Hyperbolic Problems
• The pricing of options and corporate liabilities
• Using the adaptive mesh finite volume method to solve three test problems

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