ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION

DOI10.4134/CKMS.2015.30.3.297zbMath1329.91137OpenAlexW2214652381MaRDI QIDQ3467649

Seungsuk Seo, Junseok Kim, Seunggyu Lee, Minhyun Yoo, Young Rock Kim, Darae Jeong, Yongho Choi

Publication date: 4 February 2016

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

Full work available at URL: https://doi.org/10.4134/ckms.2015.30.3.297

zbMATH Keywords

extrapolationoperator splitting methodlinear boundary conditionhigh correlationmulti-dimensional Black-Scholes equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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