A Laplace transform finite difference method for the Black-Scholes equation
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Cites work
- scientific article; zbMATH DE number 108341 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A flexible inverse Laplace transform algorithm and its application
- A method for the numerical inversion of Laplace transforms
- A new direct method for solving the Black-Scholes equation
- An Improved Method for Numerical Inversion of Laplace Transforms
- An upwind approach for an American and European option pricing model
- Estimation of local volatilities in a generalized Black-Scholes model
- Exact and numerical solution of Black--Scholes matrix equation
- Generalized trapezoidal formulas for the black–scholes equation of option pricing
- Numerical Evaluation of Continued Fractions
- Numerical Inversion of Laplace Transforms Using a Fourier Series Approximation
- Numerical Inversion of Laplace Transforms: An Efficient Improvement to Dubner and Abate's Method
- Optimal and near-optimal advection-diffusion finite-difference schemes. III: Black-Scholes equation
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- The pricing of options and corporate liabilities
Cited in
(22)- Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- A study of a new kind of universal difference schemes for solving Black-Scholes equation
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- An adaptive finite difference method using far-field boundary conditions for the Black-Scholes equation
- An Eulerian-Lagrangian method for option pricing in finance
- Laplace transformation method for the Black-Scholes equation
- Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
- A practical finite difference method for the three-dimensional Black-Scholes equation
- A weighted finite difference method for subdiffusive Black-Scholes model
- A highly accurate adaptive finite difference solver for the Black-Scholes equation
- Adomian series solution of a generalized Black-Scholes equation and its numerical computation
- Laplace transform and finite difference methods for the Black-Scholes equation
- A new finite difference method for numerical solution of Black-Scholes PDE
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
- A Contour Integral Method for the Black–Scholes and Heston Equations
- An accurate and efficient numerical method for Black-Scholes equations
- Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- A Laplace transform approach for pricing European options
- Comparison of numerical methods (Bi-CGSTAB, OS, MG) for the 2D Black-Scholes equation
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