Approximate solution of nonlinear Black–Scholes equation via a fully discretized fourth-order method

Approximate solution of nonlinear Black–Scholes equation via a fully discretized fourth-order method

In this work, a new fourth-order finite difference (FD) approximation (for both structured and unstructured grid of nodes) is contributed and equipped with the fourth-order Runge–Kutta scheme to tackle the financial nonlinear partial differential equation (PDE) of Black–Scholes. This timedependent P...

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Bibliographic Details
Main Authors: Azadeh Ghanadian, Taher Lotfi
Format: Article
Language:English
Published: AIMS Press 2020-01-01
Series:AIMS Mathematics
Subjects:
fourth-order
black-scholes equation
transaction costs
time-dependent
fd weights
Online Access:https://www.aimspress.com/article/10.3934/math.2020060/fulltext.html

Internet

https://www.aimspress.com/article/10.3934/math.2020060/fulltext.html

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