Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics

We revise the interrelations between the classical Black Scholes equation, the diffusion equation and Burgers equation. Some of the algebraic properties the diffusion equation shows are elaborated and qualitatively presented. The related numerical elementary recipes are briefly elucidated in context...

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Bibliographic Details

Published in:	Discrete Dynamics in Nature and Society
Main Authors:	Andreas Ruffing, Patrick Windpassinger, Stefan Panig
Format:	Article
Language:	English
Published:	Wiley 2001-01-01
Subjects:	Diffusion processes; Diffusion equations.
Online Access:	http://dx.doi.org/10.1155/S1026022601000176