Monotone Finite-Difference Schemes With Second Order Approximation Based on Regularization Approach for the Dirichlet Boundary Problem of the Gamma Equation

Monotone Finite-Difference Schemes With Second Order Approximation Based on Regularization Approach for the Dirichlet Boundary Problem of the Gamma Equation

We investigate the initial boundary value problem for the Gamma equation transformed from the nonlinear Black-Scholes equation for pricing option to a quasilinear parabolic equation of second derivative. Furthermore, two-side estimates for the exact solution are also provided. By using regularizatio...

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Bibliographic Details
Main Authors: Le Minh Hieu, Truong Thi Hieu Hanh, Dang Ngoc Hoang Thanh
Format: Article
Language:English
Published: IEEE 2020-01-01
Series:IEEE Access
Subjects:
Gamma equation
Black-Scholes equation
financial engineering
stock price prediction
numerical solution
numerical algorithm
Online Access:https://ieeexplore.ieee.org/document/9025045/

Internet

https://ieeexplore.ieee.org/document/9025045/

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