A highly accurate adaptive finite difference solver for the Black-Scholes equation.
Gunilla LindeJonas PerssonLina von SydowPublished in: Int. J. Comput. Math. (2009)
Keyphrases
- highly accurate
- finite difference
- hamilton jacobi
- numerical solution
- black scholes
- finite element
- partial differential equations
- numerical analysis
- high accuracy
- high quality
- numerical methods
- option pricing
- level set
- sufficient conditions
- image denoising
- diffusion equation
- anisotropic diffusion
- fuzzy numbers
- multiresolution