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

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DOI: https://doi.org/10.28924/2291-8639-24-2026-28
Published: Jan 29, 2026
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Daouda Paré, Ibrahim Zangré, Kassiénou Lamien, P.O. Fabrice Ouédraogo, W. Olivier Sawadogo, A Finite Volume Method Solution to the Two-Assets Generalized Black-Scholes Equation, Int. J. Anal. Appl., 24 (2026), 28.

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Daouda Paré, Ibrahim Zangré, Kassiénou Lamien, P.O. Fabrice Ouédraogo, W. Olivier Sawadogo

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.

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