A note on the exact discretization for a Cauchy-Euler equation: application to the Black-Scholes equation

作者：Mickens Ronald E; Munyakazi Justin; Washington Talitha M^*

来源：Journal of Difference Equations and Applications, 2015, 21(7): 547-552.

DOI：10.1080/10236198.2015.1034118

• Cauchy-Euler equation
• exact finite difference schemes
• Black-Scholes equation
• sub-equations

We construct the exact finite difference representation for a second-order, linear, Cauchy-Euler ordinary differential equation. This result is then used to construct new non-standard finite difference schemes for the Black-Scholes partial differential equation.

• 出版日期2015