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

DOI10.17654/NM020010017zbMATH Open1499.91169OpenAlexW3128242548MaRDI QIDQ5075855FDOQ5075855

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Finite Volume Methods for Hyperbolic Problems
• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• USING THE ADAPTIVE MESH FINITE VOLUME METHOD TO SOLVE THREE TEST PROBLEMS

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