Efficient Numerical Scheme for Generalized Black–Scholes Equations on Piecewise Uniform Shishkin-Type Mesh
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s40819-023-01640-1.pdf
Reference38 articles.
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3. Black, F., Scholes, M.: The valuation of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973)
4. Cen, Z., Le, A.: A robust and accurate finite difference method for a generalized Black–Scholes equation. J. Comput. Appl. Math. 235(13), 3728–3733 (2011)
5. Clavero, C., Jorge, J.C., Lisbona, F.: A uniformly convergent scheme on a nonuniform mesh for convection–diffusion parabolic problems. J. Comput. Appl. Math. 154, 415–429 (2003)
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