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Showing 1 results for Rezapour
zahra Sarvari, Mojtaba Ranjbar, Shahram Rezapour,
Volume 2, Issue 1 (6-2021)
Abstract
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.