scientific article; zbMATH DE number 6283624
Black-Scholes partial differential equationconvergenceextended blocknumerical examplesemi-discretizationstabilizationstabilized Adams methodvaluation of options
Nonlinear ordinary differential equations and systems (34A34) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods (including Monte Carlo methods) (91G60)
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