Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions
Chaeyoung Lee, Soobin Kwak, Youngjin Hwang, Junseok Kim
Topics & Concepts
Black–Scholes modelFinite difference methodFinite differenceMathematicsApplied mathematicsBoundary value problemField (mathematics)Mathematical analysisEconometricsPure mathematicsVolatility (finance)Differential Equations and Numerical MethodsNumerical methods for differential equationsTheoretical and Computational Physics