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Optimal non-uniform finite difference grids for the Black-Scholes equations.
Jisang Lyu
Eunchae Park
Sangkwon Kim
Wonjin Lee
Chaeyoung Lee
Sungha Yoon
Jintae Park
Junseok Kim
Published in:
Math. Comput. Simul. (2021)
Keyphrases
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finite difference
numerical solution
finite element
hamilton jacobi
numerical analysis
partial differential equations
level set
numerical scheme
black scholes
dynamic programming
numerical methods
diffusion equation
objective function
optimal solution
object recognition
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