Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation |
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Authors: | R.L. Valkov |
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Affiliation: | 1. Department of Mathematics and Computer Science, University of Antwerp, Antwerp, Belgiumradoslav.valkov@uantwerpen.be |
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Abstract: | We solve numerically a fully nonlinear Black–Scholes problem of Bellman type. The algorithm is focused on the so-called Delta greek, the first spatial derivative of the option price. Since the elliptic operator degenerates on the boundary we use a fitted finite volume discretization in space. Strong stability-preserving time-marching is further applied in accordance to the nonlinear nature of the differential problem. Numerical experiments validate our considerations. |
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Keywords: | Black-Scholes-Barenblatt fitted finite volume strong stability-preserving consistency |
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