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Numerical solution of linear and nonlinear Black–Scholes option pricing equations

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References

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Cited by

2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs

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2009A numerical method for European Option Pricing with transaction costs nonlinear equation57 cited

2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs38 cited

2012Superconvergence of the finite element solutions of the Black–Scholes equation28 cited

2025From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions26 cited

2017Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions25 cited

2011A high-order compact method for nonlinear Black–Scholes option pricing equations of American options21 cited

2014European Option Pricing of Fractional Version of the Black-Scholes Model: Approach Via Expansion in Series20 cited