A novel fitted finite volume method for the Black-Scholes equation governing option pricing

IMA Journal of Numerical Analysis

Volumn 24, Issue 4, 2004, Pages 699-720

  Wang, Song ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

BOUNDARY VALUE PROBLEMS; COSTS; ECONOMICS; ERROR ANALYSIS; FINANCIAL MARKETS; FINITE VOLUME METHOD;

BLACK SCHOLES EQUATIONS; DISCRETE MAXIMUM PRINCIPLES; NOVEL NUMERICAL METHODS; NUMERICAL EXPERIMENTS; PETROV GALERKIN FINITE ELEMENTS; SPATIAL DISCRETIZATIONS; TIME STEPPING TECHNIQUE; TWO POINT BOUNDARY VALUE PROBLEMS;

NUMERICAL METHODS;

EID: 7444272014     PISSN: 02724979     EISSN: None     Source Type: Journal    
DOI: 10.1093/imanum/24.4.699     Document Type: Article

References (18)

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