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ArticleLaplace Transform and finite difference methods for the Black–Scholes equation

Aldo Tagliani2013

Article2013

Laplace Transform and finite difference methods for the Black–Scholes equation

Aldo Tagliani · Mariyan Milev

27 citations·0/0 files stored·Applied Mathematics and Computation

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

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1973The Pricing of Options and Corporate Liabilities 2000Pricing Financial Instruments: The Finite Difference Method 2000Far Field Boundary Conditions for Black--Scholes Equations 2004A critique of the crank nicolson scheme strengths and weaknesses for financial instrument pricing

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2014Numerical method of pricing discretely monitored Barrier option

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2007Efficient numerical methods for pricing American options under stochastic volatilityarticle · 3 shared references 2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equationarticle · 3 shared references 2012High-order compact finite difference scheme for option pricing in stochastic volatility modelsarticle · 3 shared references 2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONSarticle · 3 shared references 2015Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricingarticle · 3 shared references 2012Finite-Element Methodschapter · 3 shared references

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Year2013

Typearticle

Published2013-08-03

VenueApplied Mathematics and Computation

ISSN-L0096-3003

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.amc.2013.07.011

openalex_workW2084759080

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