Finite Volume Schemes for Solving Nonlinear Partial Differential Equations in Financial Mathematics

DOI10.1007/978-3-642-20671-9_68zbMath1246.91150OpenAlexW2197436422MaRDI QIDQ2902144

Karol Mikula, Pavol Kútik

Publication date: 17 August 2012

Published in: Finite Volumes for Complex Applications VI Problems & Perspectives (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-20671-9_68

zbMATH Keywords

finite volume methodsecond-order schemefinancial mathematics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Initial-boundary value problems for second-order parabolic equations (35K20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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