Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function

DOI10.1016/j.cnsns.2024.108291zbMath1548.91126MaRDI QIDQ6604201

Antoine Tambue, Rock Stephane Koffi

Publication date: 12 September 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

zbMATH Keywords

PDEfinite volume methodoption pricinglocal volatilitytwo-point flux approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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