Volume 2, Issue 1 (6-2021)                   MACO 2021, 2(1): 119-130 | Back to browse issues page

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sarvari ‎ ‎, Ranjbar M, Rezapour S. Polynomial differential quadrature method for numerical solution of the generalized Black-Scholes ‎equation. MACO 2021; 2 (1) :119-130
URL: http://maco.lu.ac.ir/article-1-80-en.html
Abstract:   (913 Views)

In this paper‎, ‎the polynomial differential quadrature method (PDQM) is implemented to find the numerical solution of the generalized Black-Scholes partial differential equation‎. ‎The PDQM reduces the problem into a system of first order non-linear differential equations and then‎, ‎the obtained system is solved by optimal four-stage‎, ‎order three strong stability-preserving time-stepping Runge-Kutta (SSP-RK43) scheme‎. ‎Numerical examples are given to illustrate the efficiency of the proposed method‎.

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Type of Study: Research Article | Subject: Applied Mathematics
Published: 2021/06/28

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