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5. ADE Methods-Numerical Analysis and Application to Linear and Nonlinear Black-Scholes Models

ADE Methods-Numerical Analysis and Application to Linear and Nonlinear Black-Scholes Models

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：dabobo38

【摘 要】

：

We are dealing with numerical methods for linear and nonlinear Black-Scholes model.We apply finite difference method,esp.Alternating direction explicit methods(ADE),which were suggested in 1957 by Sau

【作 者】

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Buckova Zuzana Ehrhardt Matthias Guenther Michael 

【机 构】

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Bergische Universit(a)t Wuppertal Univ.of Wuppert

【出 处】

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第八届工业与应用数学国际大会

【发表日期】

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2015年5期

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　　We are dealing with numerical methods for linear and nonlinear Black-Scholes model.We apply finite difference method,esp.Alternating direction explicit methods(ADE),which were suggested in 1957 by Saulev.Our work includes detailed numerical analysis consisting of stability and consistency proofs.

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