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Convergence of the Two Point Flux Approximation Method and the Fitted Two Point Flux Approximation Method for Options Pricing with Local Volatility Function

https://doi.org/10.2139/ssrn.4751533
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inferredcites →https://doi.org/10.1007/978-1-4757-5233-5openalex-extracted
Finite Element Method for Hemivariational Inequalities: Theory, Methods and Applications
inferredcites →https://doi.org/10.1007/b97419openalex-extracted
Numerical Methods for Elliptic and Parabolic Partial Differential Equations
inferredcites →https://doi.org/10.1007/s00211-006-0057-7openalex-extracted
Convergence of a fitted finite volume method for the penalized Black–Scholes equation governing European and American Option pricing
inferredcites →https://doi.org/10.1007/s10614-019-09906-xopenalex-extracted
A Fitted Multi-point Flux Approximation Method for Pricing Two Options
inferredcites →https://doi.org/10.1007/s10957-006-9062-3openalex-extracted
Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation
inferredcites →https://doi.org/10.1016/0304-405x(79)90015-1openalex-extracted
Option pricing: A simplified approach
inferredcites →https://doi.org/10.1016/j.camwa.2016.03.001openalex-extracted
An exponential integrator for finite volume discretization of a reaction–advection–diffusion equation
inferredcites →https://doi.org/10.1016/s1570-8659(00)07005-8openalex-extracted
Finite volume methods
inferredcites →https://doi.org/10.1080/00207160.2015.1072172openalex-extracted
BENCHOP – The BENCHmarking project in option pricing
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1093/imanum/24.4.699openalex-extracted
A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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