scientific article; zbMATH DE number 7249206

MaRDI QIDQ5124283zbMATH OpenFDO

Authors Hyundong Kim, Sangkwon Kim, Hyun-Soo Han, Hanbyeol Jang, Chaeyoung Lee, Junseok Kim

Publication date 17 September 2020

zbMATH Keywords

finite difference methodgeneral Black-Scholes equationlocal volatility function

Mathematics Subject Classification ID

Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• Estimation of local volatilities in a generalized Black-Scholes model
• Robust and accurate construction of the local volatility surface using the Black-Scholes equation

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