A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200)
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scientific article; zbMATH DE number 5907701
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A robust and accurate finite difference method for a generalized Black-Scholes equation |
scientific article; zbMATH DE number 5907701 |
Statements
A robust and accurate finite difference method for a generalized Black-Scholes equation (English)
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14 June 2011
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Black-Scholes equation
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option valuation
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singularity
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central difference scheme
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piecewise uniform mesh
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