Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions

Keyphrases

• Finite Difference Method 100%
• Black-Scholes Model 100%
• Far-field Boundary Condition 100%
• Computational Testing 40%
• Superior Performance 20%
• Numerical Solution Algorithm 20%
• Computational Domain 20%
• Black-Scholes Equation 20%
• Large Time Steps 20%
• Underlying Asset 20%
• Temporal Discretization 20%
• Power Option 20%
• Explicit Finite-difference Scheme 20%
• European Options 20%
• Explicit numerical Scheme 20%
• Non-uniform Grid 20%
• Time Iteration 20%
• Nonlinear Boundary 20%
• Discretization Grid 20%

Mathematics

• Finite Difference Method 100%
• Boundary Condition 100%
• Nonuniform 20%
• Numerical Scheme 20%
• Numerical Solution 20%
• Time Step 20%
• Computational Domain 20%
• Test Result 20%
• Underlying Asset 20%
• Discretization 20%
• Uniform Grid 20%

Engineering

• Field Boundary Condition 100%
• Finite Difference Method 100%
• Numerical Solution 20%
• Test Result 20%
• Main Advantage 20%
• Numerical Scheme 20%
• Computational Domain 20%
• Solution Algorithm 20%
• Discretization 20%