scientific article; zbMATH DE number 6997456

DOI10.22130/scma.2017.19335zbMath1413.65323MaRDI QIDQ4647038

Nashmil Osmani, Mohammad Mehdizadeh Khalsaraei

Publication date: 4 January 2019

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

option pricingfinite difference schemeBlack-Scholes equationpositivity-preserving

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items (1)

Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation

Cites Work

• The Pricing of Options and Corporate Liabilities
• An improvement on the positivity results for 2-stage explicit Runge-Kutta methods
• Numerical valuation of discrete double barrier options
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• Finite element solution of diffusion problems with irregular data
• Efficient implicit scheme with positivity preserving and smoothing properties
• A nonstandard finite difference scheme for a nonlinear Black-Scholes equation
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