Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics

Discrete Dynamics in Nature and Society

Andreas Ruffing¹  Patrick Windpassinger²  Stefan Panig² 

[1] Center for APPlied Mathematics and Theoretical Physics, University of Maribor, Krekova Ulica 2, Maribor SLO-2000, Slovenia;Zentrum Mathematik, Technische Universität München, Arcisstrasse 21, München D-80333, Germany;

关键词: Diffusion processes;    Diffusion equations.;   

DOI  :  10.1155/S1026022601000176

来源: DOAJ

【 摘 要 】

We revise the interrelations between the classical Black Scholes equation, the diffusion equation and Burgers equation. Some of the algebraic properties the diffusion equation shows are elaborated and qualitatively presented. The related numerical elementary recipes are briefly elucidated in context of the diffusion equation. The quality of the approximations to the exact solutions is compared throughout the visualizations. The article mainly is based on the pedagogical style of the presentations to the Novacella Easter School 2000 on Financial Mathematics.

【 授权许可】

Unknown