Search Results - subject:"Finite differences"

Finite difference methods for the non-linear Black-Scholes-Barenblatt equation

Budke, Albrecht - 2013

Persistent link: https://www.econbiz.de/10010528523

ON POTENTIALIZED PARTIAL FINITE DIFFERENCE EQUATIONS: ANALYZING THE COMPLEXITY OF KNOWLEDGE-BASED SPATIAL ECONOMIC DEVELOPMENTS

COUTROT, Bernard; PAELINCK, Jean H.P.; SALLEZ, Alain; … - In: Region et Developpement 29 (2009), pp. 237-264

available, hence the question of how finite differences could generate PPFDEs (potentialized partial finite difference equations …

Persistent link: https://www.econbiz.de/10009145823

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

Fournié, Michel; Düring, Bertram; Jüngel, Ansgar - 2004

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the...

Persistent link: https://www.econbiz.de/10010263420