Spectral Method for Black-Scholes Equation

摘要：

In this paper, we propose a generalized Laguerre spectral method for Black-Scholes equation. The convergence of proposed scheme is proved. Numerical results show the spectral accuracy of this approach.

关键词： Generalized Laguerre spectral method Black-Scholes type equation.

作者: Benyu Guo Xiapyong Zhang

作者单位: Department of Mathematics, Shanghai Normal University,Division of Computational Science of E-institu Department of Mathematics, Shanghai Maritime University

会议类型: 国际会议

会议名称: The Fourth International Workshop on Scientific Computing and Applications(第四届国际科学计算与应用研讨会)

会议地点: 上海

会议语种:英文

页码: 97-102

在线出版日期: 2005-06-20（万方平台首次上网日期，不代表论文的发表时间）