Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions
DOI10.1080/1350486X.2018.1513806zbMath1411.91614MaRDI QIDQ5742507
Julien Baptiste, Emmanuel Lépinette
Publication date: 15 May 2019
Published in: Applied Mathematical Finance (Search for Journal in Brave)
finite difference schemefinite element schemeEuropean option pricingbinomial tree modeldiffusion partial differential equations
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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Cites Work
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