A Finite Volume Method Solution to the Two-Assets Generalized Black-Scholes Equation

International Journal of Analysis and Applications 2026 Open access

Read full text
Authors: Daouda Paré, Ibrahim Zangré, Kassiénou Lamien, P.O. Fabrice Ouédraogo, W. Olivier Sawadogo
DOI: 10.28924/2291-8639-24-2026-28
Cited by: 1

Abstract

The aim of this paper is to present a finite volume method (FVM) for solving numerically the two-assets generalized Black-Scholes equation. It it well-known that FVM is well-suited for solving problems involving hyperbolic and/or conservative laws mainly encountered in transport-diffusion and fluid dynamics problems. In this work, we attempt to use FVM for solving problems arising from market finance domain, in particular, the generalized multi-assets Black-Scholes problem. The discretization details and steps are presented for the two-assets problem. Then, numerical experiments are conducted on two main examples and show satisfactory results.

Fields of Study & Subjects

Advanced Numerical Methods in Computational Mathematics Stochastic processes and financial applications Navier-Stokes equation solutions

Publication details

Journal / source
International Journal of Analysis and Applications
Publisher
SCIK Publishing Corporation
Volume
24
Pages
28–28
Publication date
29 January 2026