Stability of central finite difference schemes on non-uniform grids for the Black–Scholes equation-Reference-Cited by-同舟云学术

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Stability of central finite difference schemes on non-uniform grids for the Black–Scholes equation

Published:2009-10 Issue:10 Volume:59 Page:2593-2609
ISSN:0168-9274
Container-title:Applied Numerical Mathematics
language:en
Short-container-title:Applied Numerical Mathematics

Author:

in 't Hout K.J.,Volders K.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference14 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Economy,1973

2. Solving Ordinary Differential Equations I;Hairer,2008

3. Solving Ordinary Differential Equations II;Hairer,2002

4. Numerical Solution of Time-Dependent Advection–Diffusion–Reaction Equations;Hundsdorfer,2003

5. T. Kluge, Pricing derivatives in stochastic volatility models using the finite difference method, Dipl. thesis, TU Chemnitz, 2002

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