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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2020-01-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/math.2020060/fulltext.html |