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Title
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Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
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Author
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Abstract
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| 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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Language
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English
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Source (journal)
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International journal of computer mathematics. - London
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Publication
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London
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2015
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ISSN
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0020-7160
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DOI
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10.1080/00207160.2015.1069818
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Volume/pages
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92
:12
(2015)
, p. 2475-2497
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ISI
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000363753800008
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Full text (Publisher's DOI)
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Full text (publisher's version - intranet only)
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