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A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models

Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10665)

Abstract

In this paper, we consider a class of non-linear models in mathematical finance, where the volatility depends on the second spatial derivative of the option value. We study the convergence and realization of the constructed, on a fitted non-uniform meshes, implicit difference schemes. We implement various Picard and Newton iterative processes. Numerical experiments are discussed.

Notes

Acknowledgements

This research was supported by the Bulgarian National Fund of Science under Project “Advanced Analytical and Numerical Methods for Nonlinear Differential Equations with Applications in Finance and Environmental Pollution”-2017.

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.University of RuseRuseBulgaria

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