Numerical schemes for Black-Scholes equation with error dynamics

DOI10.21608/EJMAA.2023.216295.1037MaRDI QIDQ6575484zbMATH OpenFDO

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)

zbMATH Keywords

stabilityheat equationBlack-Scholes equationglobal spectral analysis method for error dynamicstwo- and three-time level finite difference methods

Mathematics Subject Classification ID

Other functions defined by series and integrals (33E20)

Cites work

• scientific article; zbMATH DE number 1825246 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
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• Global spectral analysis of three-time level integration schemes: focusing phenomenon
• High accuracy computing methods. Fluid flows and wave phenomena. With a foreword by M. Deville
• Spectral analysis of finite difference schemes for convection diffusion equation
• The pricing of options and corporate liabilities

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