A note on the exact discretization for a Cauchy–Euler equation: application to the Black–Scholes equation

DOI10.1080/10236198.2015.1034118zbMath1326.65095OpenAlexW2025377212MaRDI QIDQ3195508

Justin B. Munyakazi, Ronald E. Mickens, Talitha M. Washington

Publication date: 20 October 2015

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2015.1034118

zbMATH Keywords

Black-Scholes equationexact finite difference schemesCauchy-Euler equationsub-equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Linear ordinary differential equations and systems (34A30) Numerical methods for initial value problems involving ordinary differential equations (65L05) Finite difference and finite volume methods for ordinary differential equations (65L12) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

United lattice fractional integro-differentiation ⋮ Exact discretization of fractional Laplacian ⋮ Exact discretization by Fourier transforms

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Exact finite difference scheme for linear differential equation with constant coefficients
• The Mathematics of Financial Derivatives
• Differential and Difference Equations

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