Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition

DOI10.1093/imanum/drs050zbMath1304.91246arXiv1208.5168OpenAlexW2063523958MaRDI QIDQ5398457

Kim Volders, Karel J. in 't Hout

Publication date: 28 February 2014

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.5168

zbMATH Keywords

stabilityconvergencefinite difference discretizationBlack-Scholeslinear boundary conditionspartial differential equations (PDE)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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