Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

Duris, Karol; Tan, Shih-Hau; Chen, Lai; Ševčovič, Daniel

doi:10.48550/arxiv.1511.05661

2015

DOI: 10.48550/arxiv.1511.05661

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Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

Karol Duris¹,

Shih-Hau Tan²,

Lai Chen³

et al.

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Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

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