An accurate solution for the generalized Black-Scholes equations governing option pricing

DOI10.3934/math.2020147zbMath1485.91248OpenAlexW3007488135MaRDI QIDQ2132964

Ashish Awasthi, TK Riyasudheen

Publication date: 28 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2020147

zbMATH Keywords

uniform boundednessoption pricingBlack-Scholes equationeuropean optionsgeneralized trapezoidal formulas

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) 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)

Related Items (3)

Numerical method for pricing discretely monitored double barrier option by orthogonal projection method ⋮ Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ The Black-Scholes equation in finance: quantum mechanical approaches

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