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A Fast Numerical Method for a Nonlinear Black-Scholes Equation.
- Source :
- AIP Conference Proceedings; 11/17/2009, Vol. 1184 Issue 1, p64-71, 8p, 2 Charts, 1 Graph
- Publication Year :
- 2009
-
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]
Details
- Language :
- English
- ISSN :
- 0094243X
- Volume :
- 1184
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- AIP Conference Proceedings
- Publication Type :
- Conference
- Accession number :
- 45552886
- Full Text :
- https://doi.org/10.1063/1.3271640