Cubic Hermite Finite Element Method for Nonlinear Black-Scholes Equation Governing European Options
A numerical algorithm for solving a generalized Black-Scholes partial differential equation, which arises in European option pricing considering transaction costs is developed. The Crank-Nicolson method is used to discretize in the temporal direction and the Hermite cubic interpolation method to dis...
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| Format: | Article |
| Language: | English |
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Universidade Estadual do Sudoeste da Bahia (UESB)
2021-12-01
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| Series: | Intermaths |
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| Online Access: | https://periodicos2.uesb.br/index.php/intermaths/article/view/9481 |