Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data (Q5311037)
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scientific article; zbMATH DE number 5200994
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data |
scientific article; zbMATH DE number 5200994 |
Statements
Approximation of the solution and its derivative for the singularly perturbed Black-Scholes equation with nonsmooth initial data (English)
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15 October 2007
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Black-Scholes equation
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singularly perturbed parabolic equations
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nonsmooth initial data
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interior layer
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difference scheme
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additive splitting of singularities
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convergence
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