Positive numerical splitting method for the <scp>H</scp>ull and <scp>W</scp>hite 2D <scp>B</scp>lack–<scp>S</scp>choles equation

DOI10.1002/num.21919zbMath1319.91155OpenAlexW1910721800WikidataQ115398174 ScholiaQ115398174MaRDI QIDQ5252274

Tatiana Chernogorova, Radoslav L. Valkov

Publication date: 29 May 2015

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.21919

zbMATH Keywords

maximum principleoperator splittingfitted finite volume methodHull and Whitemixed derivativeboundary corrections

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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