The Fitted Finite Volume and Power Penalty Methods for Option Pricing

DOI10.1007/978-981-15-9558-5zbMath1458.91008OpenAlexW3094642427MaRDI QIDQ5139370

Songgui Wang

Publication date: 8 December 2020

Published in: SpringerBriefs in Applied Sciences and Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-9558-5

zbMATH Keywords

finite volume methodBlack-Scholes equationpenalty equationEuropean and American optionsdifferential linear complementarity problem\(2D\) differential operator of Black-Scholes typepricing financial optionsunsymmetric finite volume method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)