Unconditional positive stable numerical solution of partial integrodifferential option pricing problems

DOI10.1155/2015/960728zbMath1435.91197OpenAlexW2009426386WikidataQ59112075 ScholiaQ59112075MaRDI QIDQ1756203

M. Fakharany, Lucas Jodar, Rafael Company

Publication date: 14 January 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/960728

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

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