Polynomial differential quadrature method for numerical solution of the generalized Black-Scholes equation
Ranjbar, M., & Rezapour, S. (۲۰۲۱)
Mathematical Analysis and Convex Optimization, ۲(۱), ۱۱۹-۱۳۰.
Abstract
In this paper, the polynomial differential quadrature method (PDQM) is implemented to find the numerical solution of the generalized Black-Scholes partial differential equation. The PDQM reduces the problem into a system of first order non-linear differential equations and then, the obtained system is solved by optimal four-stage, order three strong stability-preserving time-stepping Runge-Kutta (SSP-RK۴۳) scheme. Numerical examples are given to illustrate the efficiency of the proposed method.
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