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math.NA2019
A fitted L-Multi-point Flux Approximation method for pricing options
Rock Stephane Koffi, Antoine Tambue
In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional dom…
math.NA2019★ 3 cited
Convergence of the Two Point Flux Approximation and a novel fitted Two-Point Flux Approximation method for pricing options
Rock S. Koffi, Antoine Tambue
In this paper, we deal with numerical approximations for solving the Black-Scholes Partial Differential Equation (PDE). This PDE is well known to be degenerated. The space discreti…
math.NA2019
A Fitted Multi-Point Flux Approximation Method for Pricing two options
Rock Stephane Koffi, Antoine Tambue
In this paper, we develop novel numerical methods based on the Multi-Point Flux Approximation (MPFA) method to solve the degenerated partial differential equation (PDE) arising fro…