A robust and accurate finite difference method for a generalized Black-Scholes equation
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Publication:544200
DOI10.1016/j.cam.2011.01.018zbMath1214.91130OpenAlexW2050650133MaRDI 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
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) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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