The Time-Discrete Method of Lines for Options and Bonds

DOI10.1142/9292zbMath1319.91008OpenAlexW4241195648MaRDI QIDQ5174507

Gunter H. Meyer

Publication date: 18 February 2015

Full work available at URL: https://doi.org/10.1142/9292

zbMATH Keywords

Black-Scholes-Barenblatt equationnumerical methodsAmerican optionsBlack-Scholes equationEuropean optionspricing modelsRiccati transformation methodadmissible boundary conditionsFichera functionpartial differential equation approachtime-discrete method of lines

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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