Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
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Publication:411091
DOI10.1155/2012/796814zbMath1235.91171OpenAlexW1998586337WikidataQ58907367 ScholiaQ58907367MaRDI QIDQ411091
Zhongdi Cen, Anbo Le, Aimin Xu
Publication date: 4 April 2012
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/796814
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06)
Related Items (4)
On two kinds of \(q\)-analogues of generalized Stirling numbers ⋮ A high-order finite difference method for option valuation ⋮ Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation ⋮ A stochastic delay model for pricing debt and equity: numerical techniques and applications
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