An Evaluation of novel method of Ill-Posed Problem for the Black-Scholes Equation solution

1 code implementation • 18 Nov 2020 • Kirill V. Golubnichiy, Tianyang Wang, Andrey V. Nikitin

It was proposed by Klibanov a new empirical mathematical method to work with the Black-Scholes equation.

Numerical Analysis Numerical Analysis 35R30, 65K05, 35R25, 65M30 G.1.8; G.1.6