2013•Applied Mathematics and ComputationRequires access

An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs

Donny Citra Lesmana, Song Wang

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Key concepts: Jacobian matrix and determinant, Mathematics, Discretization, Upwind scheme, Partial differential equation, Nonlinear system, Finite difference, Finite difference method

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An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs — Research Paper | ScholarLens