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Discrete Energy Laws for the First-Order System Least-Squares Finite-Element Approach Read chapter Read first chapter

2018 | OriginalPaper | Chapter

A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models

Authors : Miglena N. Koleva, Lubin G. Vulkov

Published in: Large-Scale Scientific Computing

Publisher: Springer International Publishing

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Abstract

In this paper, we consider a class of non-linear models in mathematical finance, where the volatility depends on the second spatial derivative of the option value. We study the convergence and realization of the constructed, on a fitted non-uniform meshes, implicit difference schemes. We implement various Picard and Newton iterative processes. Numerical experiments are discussed.

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previous chapter Efficient Solution Techniques for Multi-phase Flow in Porous Media
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Metadata
Title
A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models
Authors
Miglena N. Koleva
Lubin G. Vulkov
Copyright Year
2018
Book
Large-Scale Scientific Computing

Print ISBN: 978-3-319-73440-8

Electronic ISBN: 978-3-319-73441-5

Copyright Year: 2018

DOI
https://doi.org/10.1007/978-3-319-73441-5_64

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