A Superconvergent Fitted Finite Volume Method for Black–Scholes Equations Governing European and American Option Valuation

A Superconvergent Fitted Finite Volume Method for Black–Scholes Equations Governing European and American Option Valuation

We develop a superconvergent fitted finite volume method for a degenerate nonlinear penalized Black–Scholes equation arising in the valuation of European and American options, based on the fitting idea in Wang [IMA J Numer Anal 24 (2004), 699–720]. Unlike conventional finite volume methods in which...

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Bibliographic Details
Main Authors: Wang, Song, Zhang, S., Fang, Z.
Format: Journal Article
Published: Wiley Periodicals, Inc. 2015
Subjects:
superconvergence
fitted finite volume methods
Black–Scholes equation
Online Access:http://hdl.handle.net/20.500.11937/47553

Internet

http://hdl.handle.net/20.500.11937/47553

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