AN ADAPTIVE FINITE DIFFERENCE METHOD USING FAR-FIELD BOUNDARY CONDITIONS FOR THE BLACK-SCHOLES EQUATION

DOI10.4134/BKMS.2014.51.4.1087zbMath1296.91282MaRDI QIDQ2877812

In-Han Yoon, Darae Jeong, Junseok Kim, Taeyoung Ha, Jaemin Shin, Myoung-Nyoun Kim

Publication date: 25 August 2014

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=412165

zbMATH Keywords

finite difference methodBlack-Scholes equationadaptive gridfar-field boundary conditionsPéclet condition

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) Derivative securities (option pricing, hedging, etc.) (91G20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

Related Items (3)

Second order accuracy finite difference methods for space-fractional partial differential equations ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations ⋮ Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations

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