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A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation - MaRDI portal

A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation (Q3448354)

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English
A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation
scientific article

    Statements

    title
    A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation (English)
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    author
    Shuhua Zhang
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    Zhi-Wei Fang
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    Songgui Wang
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    publication date
    23 October 2015
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    zbMATH Keywords
    Black-Scholes equation
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    fitted finite volume methods
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    superconvergence
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    Identifiers

    DOI
    10.1002/num.21941
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    Mathematics Subject Classification ID
    91G60
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    65M08
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    91G20
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    60G40
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    zbMATH DE Number
    6497876
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    Wikidata QID
    Q59416154
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    OpenAlex ID
    W2119303271
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