A novel fitted finite volume method for the Black-Scholes equation governing option pricing

By Song Wang. 2004

166 citations recorded by the source corpus.

Subfields: Computational Mechanics, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/ba772126c266501163e6bf3dd12ac43bc3dbd104

Citations in the corpus

• Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation (2006, unknown): “(18) Finally, letting u = −U , the complementarity problem (13)–(15) can further be rewritten as the following standard form: Lu(x, t) ≤ f (x, t), u(x, t) − u∗(x, t) ≤ 0, (19) [Lu(x, t) − f (x, t)] · [u(x, t) − u∗(x, t)] = 0, (20) in = I × (0, T ), where u∗(x) = −U ∗(x).”