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Found 31 Documents (Results 1–31)

A unified numerical approach for a large class of nonlinear Black-Scholes models. (English) Zbl 1476.91219

Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 11th international conference, LSSC 2017, Sozopol, Bulgaria, June 5–9, 2017. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 10665, 583-591 (2018).
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Computation of delta Greek for non-linear models in mathematical finance. (English) Zbl 1367.91195

Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 430-438 (2017).
MSC:  91G60 65H10 91G20
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A 2nd-order FDM for a 2D fractional Black-Scholes equation. (English) Zbl 1367.91191

Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 46-57 (2017).
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Recent advances in numerical solution of HJB equations arising in option pricing. (English) Zbl 1360.91155

Dimov, Ivan (ed.) et al., Finite difference methods, theory and applications. 6th international conference, FDM 2014, Lozenetz, Bulgaria, June 18–23, 2014. Revised selected papers. Cham: Springer (ISBN 978-3-319-20238-9/pbk; 978-3-319-20239-6/ebook). Lecture Notes in Computer Science 9045, 104-116 (2015).
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