Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models

DOI10.1007/978-3-319-61282-9_19zbMath1420.91503OpenAlexW2754409583MaRDI QIDQ4626512

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Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_19

zbMATH Keywords

European optionsalternating direction explicit methodsBlack-Scholes pricing model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Extinction for a discrete competition system with the effect of toxic substances
• Conservation properties of convection difference schemes
• On the stability of alternating‐direction explicit methods for advection‐diffusion equations
• Convective Difference Schemes
• Some Stable Explicit Difference Approximations to the Diffusion Equation
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