Alternating Direction Explicit Method for a Nonlinear Model in Finance
In this article, at first standard linear Black-Scholes model and then some nonlinear Black-Scholes models will be considered and thereupon alternating direction explicit (ADE) method is applied firstly for solving the standard Black-Scholes model and then for Barles and Soner model which is one of...
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| Format: | Article |
| Language: | English |
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Islamic Azad University of Arak
2021-10-01
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| Series: | Advances in Mathematical Finance and Applications |
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| Online Access: | https://amfa.arak.iau.ir/article_681496_f0039708a3b34d3536ac9dae9f50dc97.pdf |