Numerical schemes for Black-Scholes equation with error dynamics

DOI10.21608/EJMAA.2023.216295.1037MaRDI QIDQ6575484

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Publication date: 20 July 2024

Published in: Electronic Journal of Mathematical Analysis and Applications EJMAA (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Other functions defined by series and integrals (33E20)

Cites Work

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• The pricing of options and corporate liabilities
• Error dynamics of diffusion equation: effects of numerical diffusion and dispersive diffusion
• Spectral analysis of finite difference schemes for convection diffusion equation
• Global spectral analysis of three-time level integration schemes: focusing phenomenon
• Global spectral analysis of multi-level time integration schemes: numerical properties for error analysis
• Error dynamics: Beyond von Neumann analysis
• High accuracy computing methods. Fluid flows and wave phenomena. With a foreword by M. Deville
• A First Course in the Numerical Analysis of Differential Equations

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