Solving generalized linear model of Black-Scholes with classical finite volume method

DOI10.17654/NM020010017MaRDI QIDQ5075855zbMATH OpenOpenAlexFDO

Authors Paré Daouda, Kassiénou Lamien, Pare Youssouf, Longin Some

Publication date 12 May 2022

Published in International Journal of Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/nm020010017

zbMATH Keywords

Black-Scholes equationclassical finite volume methoddiffusion termEuropean optionmaturitynumerical fluxpremiumsource termstrike price

Mathematics Subject Classification ID

Initial-boundary value problems for linear first-order PDEs (35F16) 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) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A fitted finite volume method for the valuation of options on assets with stochastic volatilities
• Finite Volume Methods for Hyperbolic Problems
• The pricing of options and corporate liabilities
• Using the adaptive mesh finite volume method to solve three test problems

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