Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

DOI10.1007/978-3-642-41515-9_40zbMath1351.91023OpenAlexW46126336MaRDI QIDQ2859171

Miglena N. Koleva

Publication date: 6 November 2013

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41515-9_40

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)

Related Items (5)

Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations ⋮ A Splitting Numerical Scheme for Non-linear Models of Mathematical Finance ⋮ A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem ⋮ Computation of Delta Greek for Non-linear Models in Mathematical Finance

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