A Fast Numerical Method for a Nonlinear Black‐Scholes Equation
- Conference date: 7–12 June 2009
- Location: Sozopol (Bulgaria)
In this paper we will present an effective numerical method for the Black‐Scholes equation with transaction costs for the limiting price u(s, t;a). The technique combines the Rothe method with a two‐grid (coarse‐fine) algorithm for computation of numerical solutions to initial boundary‐values problems to this equation. Numerical experiments for comparison the accuracy ant the computational cost of the method with other known numerical schemes are discussed.
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