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1. A Fast Numerical Method for a Nonlinear Black-Scholes Equation.

Author

Koleva, Miglena N. and Vulkov, Lubin G.

Subjects
*NUMERICAL analysis, *ALGORITHMS, *MATHEMATICAL optimization, *PARTIAL differential equations, *CALCULUS, *FINITE element method
Abstract

In this paper we will present an effective numerical method for the Black-Scholes equation with transaction costs for the limiting price u(s, t;a). The technique combines the Rothe method with a two-grid (coarse-fine) algorithm for computation of numerical solutions to initial boundary-values problems to this equation. Numerical experiments for comparison the accuracy ant the computational cost of the method with other known numerical schemes are discussed. [ABSTRACT FROM AUTHOR]

Published
2009
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