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

Applied Numerical Mathematics ◽

10.1016/j.apnum.2009.05.011 ◽

2009 ◽

Vol 59 (10) ◽

pp. 2593-2609 ◽

Author(s):

K.J. in 't Hout ◽

K. Volders

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Uniform Grids ◽

Black Scholes ◽

Central Finite Difference

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Stability of central finite difference schemes on non-uniform grids for the Black–Scholes PDE with Neumann boundary condition

10.1063/1.4756624 ◽

2012 ◽

Author(s):

K. Volders

Keyword(s):

Boundary Condition ◽

Finite Difference ◽

Neumann Boundary Condition ◽

Neumann Boundary ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Uniform Grids ◽

Black Scholes ◽

Central Finite Difference

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Stability of Central Finite Difference Schemes on Non–Uniform Grids for 1D Partial Differential Equations with Variable Coefficients

10.1063/1.3498327 ◽

2010 ◽

Author(s):

Kim Volders ◽

Theodore E. Simos ◽

George Psihoyios ◽

Ch. Tsitouras

Keyword(s):

Partial Differential Equations ◽

Finite Difference ◽

Differential Equations ◽

Variable Coefficients ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Partial Differential ◽

Uniform Grids ◽

Central Finite Difference

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Numerical study on gas flow through a micro–nano porous medium based on finite difference schemes on quasi-uniform grids

International Journal of Non-Linear Mechanics ◽

10.1016/j.ijnonlinmec.2018.05.023 ◽

2018 ◽

Vol 105 ◽

pp. 186-191 ◽

Author(s):

Riccardo Fazio ◽

Alessandra Jannelli ◽

Tiziana Rotondo

Keyword(s):

Porous Medium ◽

Finite Difference ◽

Gas Flow ◽

Numerical Study ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Uniform Grids ◽

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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2295581 ◽

2013 ◽

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

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Very high-order compact finite difference schemes on non-uniform grids for incompressible Navier–Stokes equations

Journal of Computational Physics ◽

10.1016/j.jcp.2006.11.007 ◽

2007 ◽

Vol 224 (2) ◽

pp. 1064-1094 ◽

Author(s):

Ratnesh K. Shukla ◽

Mahidhar Tatineni ◽

Xiaolin Zhong

Keyword(s):

Finite Difference ◽

Stokes Equations ◽

Difference Schemes ◽

Navier Stokes ◽

Finite Difference Schemes ◽

Navier Stokes Equations ◽

Compact Finite Difference ◽

Uniform Grids ◽

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Finite Difference Schemes for Black-Scholes with Asian Option

Applied Economics and Finance ◽

10.11114/aef.v4i1.2098 ◽

2016 ◽

Vol 4 (1) ◽

Author(s):

Wei Zhao

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Asian Option ◽

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Nonstandard Finite Difference Schemes for the Black–Scholes Equation

Mathematics of Continuous and Discrete Dynamical Systems - Contemporary Mathematics ◽

10.1090/conm/618/12330 ◽

2014 ◽

pp. 217-227

Author(s):

Matthias Ehrhardt

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Black Scholes ◽

Nonstandard Finite Difference

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Stability of central finite difference schemes for the Heston PDE

Numerical Algorithms ◽

10.1007/s11075-011-9514-1 ◽

2011 ◽

Vol 60 (1) ◽

pp. 115-133 ◽

Author(s):

Karel J. in ’t Hout ◽

Kim Volders

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Central Finite Difference

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Black–Scholes Finite-Difference Schemes

Computational Finance Using C and C# ◽

10.1016/b978-0-12-803579-5.00022-x ◽

2016 ◽

pp. 337-340

Author(s):

George Levy

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

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High Order Compact Finite Difference Schemes for A Nonlinear Black-Scholes Equation

SSRN Electronic Journal ◽

10.2139/ssrn.520162 ◽

2001 ◽

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Ansgar Jüngel

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Compact Finite Difference ◽

Black Scholes ◽

Compact Finite Difference Schemes

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