Richardson extrapolation technique for generalized Black-Scholes PDEs for European options

DOI10.1007/s40314-023-02372-0zbMath1524.65313OpenAlexW4382794986MaRDI QIDQ6172880

Saurabh Bansal, Srinivasan Natesan

Publication date: 20 July 2023

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-023-02372-0

zbMATH Keywords

option pricingfinite difference schemesgeneralized Black-Scholes equationfinite domainEuropean callRichardson extrapolation technique

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) Extrapolation to the limit, deferred corrections (65B05) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• Cubic spline method for a generalized Black-Scholes equation
• Extrapolation of difference methods in option valuation
• Derivative securities and difference methods.
• Tools for computational finance.

This page was built for publication: Richardson extrapolation technique for generalized Black-Scholes PDEs for European options