Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
type: Item
instance of: scholarly article
title: Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
zbMATH Open document ID: 1330.91183
author: Karol Ďuriš
author: Shih-Hau Tan
author: C. H. Lai
author: Daniel Ševčovič
published in: Computational Methods in Applied Mathematics
publication date: 2016-01-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1511.05661
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35C20
Mathematics Subject Classification ID: 35K55
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6528828
zbMATH Keywords: nonlinear PDE
zbMATH Keywords: asymptotic formula
zbMATH Keywords: Newton's method
zbMATH Keywords: finite difference method
zbMATH Keywords: option pricing
zbMATH Keywords: Black-Scholes equation
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2963206379
arXiv ID: 1511.05661
DOI: 10.1515/CMAM-2015-0035
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description: scientific article