Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem

DOI10.4208/aamm.12-m1216zbMath1305.65195OpenAlexW2322600817MaRDI QIDQ5498616

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Publication date: 10 February 2015

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.12-m1216

zbMATH Keywords

Black-Scholes equationfitted finite volume methodminmod limiterexponential fitting methodsKurganov-Tadmor schemeconvection-dominated case

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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