Publication
Title
Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
Author
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.
Language
English
Source (journal)
International journal of computer mathematics. - London
Publication
London : 2015
ISSN
0020-7160
Volume/pages
92:12(2015), p. 2475-2497
ISI
000363753800008
Full text (Publishers DOI)
Full text (publishers version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 09.12.2015
Last edited 26.03.2017
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