Numerical schemes for Black-Scholes equation with error dynamics
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Publication:6575484
DOI10.21608/EJMAA.2023.216295.1037MaRDI QIDQ6575484FDOQ6575484
Authors: Tejal B. Shah, J. P. Sharma 
Publication date: 20 July 2024
Published in: Electronic Journal of Mathematical Analysis and Applications EJMAA (Search for Journal in Brave)
stabilityheat equationBlack-Scholes equationglobal spectral analysis method for error dynamicstwo- and three-time level finite difference methods
Cites Work
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- Error dynamics: Beyond von Neumann analysis
- High accuracy computing methods. Fluid flows and wave phenomena. With a foreword by M. Deville
- Error dynamics of diffusion equation: effects of numerical diffusion and dispersive diffusion
- Spectral analysis of finite difference schemes for convection diffusion equation
- Global spectral analysis of three-time level integration schemes: focusing phenomenon
- Global spectral analysis of multi-level time integration schemes: numerical properties for error analysis
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