Optimal and near-optimal advection—diffusion finite-difference schemes III. Black—Scholes equation
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Publication:2713415
DOI10.1098/RSPA.2000.0548zbMath1048.65087OpenAlexW2096543990MaRDI QIDQ2713415
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Publication date: 2000
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2000.0548
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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