Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero. At this singularity, important properties of the differential operator are lost and the classical finite difference scheme applied to t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-02-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037421000571 |