Optimal non-uniform finite difference grids for the Black-Scholes equations
DOI10.1016/j.matcom.2020.12.002OpenAlexW3111241550WikidataQ113293524 ScholiaQ113293524MaRDI QIDQ1998418
Jisang Lyu, Wonjin Lee, Eunchae Park, Chaeyoung Lee, Sungha Yoon, Junseok Kim, Jintae Park, Sangkwon Kim
Publication date: 6 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2020.12.002
Numerical methods for ordinary differential equations (65Lxx) Actuarial science and mathematical finance (91Gxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)
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