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

Paper Details

Authors: Paré D.; Zangré I.; Lamien K.; Ouédraogo P.O.F.; Sawadogo W.O.

DOI: 10.28924/2291-8639-24-2026-28

Journal: International Journal of Analysis and Applications

Year: 2026

Publisher: Etamaths Publishing

Document Type: Article

Open Access: All Open Access; Gold Open Access

Cited by: 0

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. © 2026 the author(s).

Keywords

Black-Scholes; call and put; finance; finite volume method; option pricing; stochastic partial differential equation

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