Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations
We briefly review and investigate the performance of various boundary conditions such as Dirichlet, Neumann, linear, and partial differential equation boundary conditions for the numerical solutions of the Black-Scholes partial differential equation. We use a finite difference method to numerically...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2015-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2015/359028 |