Don't solve the Black-Scholes PDE, solve the heat equation One of the major results of mathematical finance is showing that the Black-Scholes PDE can be mapped to the heat equation. The heat equation is both mathematically nicer to handle, analyse, and computationally has much better solvers than other generic PDE solvers. Don't solve the Black-Scholes PDE, ...


I got a lot of mileage out of Daniel Duffy's Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach.

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