A note on the exact discretization for a Cauchy–Euler equation: application to the Black–Scholes equation
| Autor: | Talitha M. Washington, Ronald E. Mickens, Justin B. Munyakazi |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Algebra and Number Theory
Partial differential equation Differential equation Cauchy–Euler equation Applied Mathematics Mathematical analysis First-order partial differential equation Riccati equation Exact differential equation Black–Scholes equation Hyperbolic partial differential equation Analysis Mathematics |
| Zdroj: | Journal of Difference Equations and Applications. 21:547-552 |
| ISSN: | 1563-5120 1023-6198 |
| DOI: | 10.1080/10236198.2015.1034118 |
| Popis: | We construct the exact finite difference representation for a second-order, linear, Cauchy–Euler ordinary differential equation. This result is then used to construct new non-standard finite difference schemes for the Black–Scholes partial differential equation. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|