Optimal non-uniform finite difference grids for the Black–Scholes equations
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DOI: 10.1016/j.matcom.2020.12.002
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- Chaeyoung Lee & Soobin Kwak & Youngjin Hwang & Junseok Kim, 2023. "Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1207-1224, March.
- Černá, Dana & Fiňková, Kateřina, 2024. "Option pricing under multifactor Black–Scholes model using orthogonal spline wavelets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 220(C), pages 309-340.
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Keywords
Black–Scholes equations; Optimal non-uniform grid; Finite difference method; Equity-linked securities;All these keywords.
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