Bilateral Bulgarian-German Project
Computational Finance
TRABS : Transformation Techniques and Artificial Boundary Conditions for Black-Scholes Equations
financed by the European Social Fund through Human Resource Development Operational Programme
(09/2013 - 10/2013)
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Summary
In this project we will develop numerical methods for degenerate parabolic
(linear and nonlinear) equations of Black-Scholes type, in particular finite volume element methods
combined with transformation techniques as well as splitting methods for 2D problems.
Especially we are interested in the artificial boundary condition method.
We will perform a detailed comparison between the method of Ehrhardt and Mickens
and a novel alternative approach proposed by Valkov.
Bulgarian team:
German team:
Publications of the Project
