36 citations · 36 across the 4 of their papers we have counts for
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math.NA2013
Positive Splitting Method for the Hull & White 2D Black-Scholes Equation
T. Chernogorova, R. Valkov
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the two-dimensional Black-Scholes equation, arising in the Hull & White model for pri…
math.NA2013
Finite Volume Difference Scheme for a Degenerate Parabolic Equation in the Zero-Coupon Bond Pricing
T. Chernogorova, R. Valkov
In this paper we solve numerically a degenerate parabolic equation with dynamical boundary conditions of zero-coupon bond pricing. First, we discuss some properties of the differen…
math.NA2012★ 36 cited
Fitted Finite Volume Method for a Generalized Black-Scholes Equation Transformed on Finite Interval
Radoslav Valkov
A generalized Black-Scholes equation is considered on the semi-axis. It is transformed on the interval (0,1) in order to make the computational domain finite. The new parabolic ope…