scientific article; zbMATH DE number 6453652

DOI10.3969/J.ISSN.1006-6330.2014.04.017MaRDI QIDQ5260264zbMATH OpenFDO

Authors Chuanqing Gu, Ying Kang

Publication date 29 June 2015

zbMATH Keywords

finite differenceFourier analysisBlack-Scholes equationGMRES methodEuropean call option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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