A robust and accurate finite difference method for a generalized Black-Scholes equation
DOI10.1016/j.cam.2011.01.018zbMath1214.91130MaRDI QIDQ544200
Publication date: 14 June 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.01.018
singularity; central difference scheme; Black-Scholes equation; piecewise uniform mesh; option valuation
91G60: Numerical methods (including Monte Carlo methods)
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
65M50: Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs
