A Laplace transform finite difference method for the Black-Scholes equation

DOI10.1016/j.mcm.2009.08.012zbMath1190.65120MaRDI QIDQ984157

Jaemin Ahn, Sungkwon Kang, Yong-Hoon Kwon

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.08.012

zbMATH Keywords

finite difference method; inverse Laplace transform; Black-Scholes equation

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

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