A nonstandard finite difference scheme for a nonlinear Black-Scholes equation.
Abraham J. ArenasGilberto C. González-ParraBlas Melendez CaraballoPublished in: Math. Comput. Model. (2013)
Keyphrases
- finite difference
- numerical scheme
- semi implicit
- finite element
- hamilton jacobi
- numerical solution
- partial differential equations
- black scholes
- numerical analysis
- level set
- option pricing
- diffusion equation
- financial markets
- signed distance function
- computer vision
- numerical methods
- fuzzy numbers
- natural images
- lower bound
- image processing