Numerical Approximation of Black-Scholes Equation

DOI10.2478/V10157-010-0004-XzbMath1195.91174OpenAlexW2072159554MaRDI QIDQ3553819

Gina Dura, Ana-Maria Moşneagu

Publication date: 21 April 2010

Published in: Annals of the Alexandru Ioan Cuza University - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/v10157-010-0004-x

zbMATH Keywords

payoffBlack-Scholes equationEuropean call/put optionfinite-differences method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Finite difference methods for boundary value problems involving PDEs (65N06) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items (3)

On the approximation of the Black and Scholes call function ⋮ Exact solutions and numerical simulation for Bakstein-Howison model ⋮ Challenges in approximating the Black and Scholes call formula with hyperbolic tangents

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Discretization estimates for an elliptic control problem
• The Mathematics of Financial Derivatives

This page was built for publication: Numerical Approximation of Black-Scholes Equation