Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval

DOI10.1007/s11075-013-9701-3zbMath1287.65071arXiv1211.1903OpenAlexW2135352310MaRDI QIDQ393762

Radoslav L. Valkov

Publication date: 24 January 2014

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.1903

zbMATH Keywords

convergencenumerical experimentspositivitydegenerate parabolic equationCrank-Nicolsontheta methodfitted finite volume methodGårding coercivitygeneralized Black-Scholes equationL-splineScharfetter-Gummelweighted difference

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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Cites Work

• Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
• A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond
• A robust and accurate finite difference method for a generalized Black-Scholes equation
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• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• The Mathematics of Financial Derivatives
• Computational Methods for Option Pricing
• Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem
• Tools for computational finance.
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