Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

DOI10.1515/cmam-2015-0035zbMath1330.91183arXiv1511.05661OpenAlexW2963206379MaRDI QIDQ901413

Choi-Hong Lai, Karol Ďuriš, Shih-Hau Tan, Daniel Ševčovič

Publication date: 12 January 2016

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

Full work available at URL: https://arxiv.org/abs/1511.05661

zbMATH Keywords

Newton's methodfinite difference methodoption pricingasymptotic formulanonlinear PDEBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Asymptotic expansions of solutions to PDEs (35C20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Newton-Based Solvers for Nonlinear PDEs in Finance

This page was built for publication: Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations