An efficient and accurate adaptive time-stepping method for the Black-Scholes equations

DOI10.12941/jksiam.2024.28.088MaRDI QIDQ6647983

Hyundong Kim, Soobin Kwak, Junseok Kim, Zhengang Li, Yunjae Nam, Hyeongseok Hwang, Seokjun Ham

Publication date: 3 December 2024

Published in: Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

discrete LaplacianBlack-Scholes equationadaptive time-stepping

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx)

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