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A second-order finite difference method for the Black–Scholes model without far-field boundary conditions

Jian Wang¹; Lin Wu^2,1; Xinpei Wu²; Youngjin Hwang²; Yunjae Nam³; Soobin Kwak²; Taehui Lee³; Junseok Kim²

¹ Nanjing University of Information Science and Technology · ² Korea University · ³ Financial Research (Hungary)

DOI

10.1016/j.jfs.2025.101477

Volume

81

Pages

101477

Language

en

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