A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option.
Pradip RoulV. M. K. Prasad GouraPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- finite difference method
- black scholes
- partial differential equations
- higher order
- option pricing
- numerical methods
- high order
- image denoising
- anisotropic diffusion
- level set
- stock price
- natural images
- differential equations
- image processing
- markov random field
- numerical solution
- multiscale
- pairwise
- decision analysis
- heat equation
- finite element model
- image enhancement
- curve evolution
- diffusion equation
- finite difference
- nonlinear diffusion
- finite element method
- real option
- energy functional
- denoising
- non stationary
- feature extraction