Title
Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
London ,
Subject
Mathematics
Source (journal)
International journal of computer mathematics. - London
Volume/pages
92(2015) :12 , p. 2475-2497
ISSN
0020-7160
ISI
000363753800008
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
We solve numerically a fully nonlinear Black-Scholes problem of Bellman type. The algorithm is focused on the so-called Delta greek, the first spatial derivative of the option price. Since the elliptic operator degenerates on the boundary we use a fitted finite volume discretization in space. Strong stability-preserving time-marching is further applied in accordance to the nonlinear nature of the differential problem. Numerical experiments validate our considerations.
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https://repository.uantwerpen.be/docman/iruaauth/7299ae/129481.pdf
Handle