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

Mapping Intimacies ◽

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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Accurate finite difference schemes for solving a 3D micro heat transfer model in an N-carrier system with the Neumann boundary condition in spherical coordinates

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2010.07.017 ◽

2010 ◽

Vol 235 (3) ◽

pp. 850-869 ◽

Author(s):

Di Zhao ◽

Weizhong Dai

Keyword(s):

Heat Transfer ◽

Boundary Condition ◽

Finite Difference ◽

Neumann Boundary Condition ◽

Neumann Boundary ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Transfer Model ◽

Spherical Coordinates ◽

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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 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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Second Order Monotone Finite-Difference Schemes on Non-Uniform Grids for Multi-Dimensional Convection-Diffusion Problem with a Boundary Condition of the Third Kind

Lobachevskii Journal of Mathematics ◽

10.1134/s1995080221070106 ◽

2021 ◽

Vol 42 (7) ◽

pp. 1661-1674

Author(s):

L. M. Hieu ◽

D. N. H. Thanh ◽

T. T. Tu

Keyword(s):

Boundary Condition ◽

Finite Difference ◽

Diffusion Problem ◽

Second Order ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Convection Diffusion ◽

The Third ◽

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A high-order ADI finite difference scheme for a 3D reaction-diffusion equation with neumann boundary condition

Numerical Methods for Partial Differential Equations ◽

10.1002/num.21726 ◽

2012 ◽

Vol 29 (3) ◽

pp. 778-798 ◽

Author(s):

Wenyuan Liao

Keyword(s):

Boundary Condition ◽

Finite Difference ◽

Diffusion Equation ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Neumann Boundary Condition ◽

Neumann Boundary ◽

Reaction Diffusion ◽

Reaction Diffusion Equation

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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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Coupling of Dirichlet-to-Neumann boundary condition and finite difference methods in curvilinear coordinates for multiple scattering

Journal of Computational Physics ◽

10.1016/j.jcp.2010.04.011 ◽

2010 ◽

Vol 229 (15) ◽

pp. 5498-5517 ◽

Author(s):

Sebastian Acosta ◽

Vianey Villamizar

Keyword(s):

Boundary Condition ◽

Finite Difference ◽

Multiple Scattering ◽

Neumann Boundary Condition ◽

Finite Difference Methods ◽

Neumann Boundary ◽

Curvilinear Coordinates ◽

Difference Methods

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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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