Exact and numerical solution of Black-Scholes matrix equation.

J. C. Cortés Lucas Jódar R. Sala P. Sevilla-Peris

Published in: Appl. Math. Comput. (2005)

Keyphrases

numerical solution
black scholes
numerical methods
exact solution
differential equations
partial differential equations
option pricing
finite difference
boundary value problem
finite element
fuzzy numbers
lower bound
stock exchange
state space
financial markets