Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
From MaRDI portal
Publication:5315457
DOI10.1051/m2an:2004018zbMath1124.91031MaRDI QIDQ5315457
Michel Fournié, Ansgar Jüngel, Bertram Düring
Publication date: 8 September 2005
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=M2AN_2004__38_2_359_0
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
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