A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option (Q2315945)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option |
scientific article |
Statements
A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option (English)
0 references
26 July 2019
0 references
Black-Scholes equation
0 references
European call option
0 references
compact finite difference method
0 references
convergence analysis
0 references
Crank-Nicolson method
0 references
stability analysis
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
