Lattice Boltzmann Method for the Generalized Black-Scholes Equation

Lattice Boltzmann Method for the Generalized Black-Scholes Equation

In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential equation with a source term using the variable...

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Bibliographic Details
Main Authors: Fangfang Wu, Duoduo Xu, Ming Tian, Yingying Wang
Format: Article
Language:English
Published: Wiley 2023-01-01
Series:Advances in Mathematical Physics
Online Access:http://dx.doi.org/10.1155/2023/1812518
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