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A partial differential equation that describes diffusion phenomena.
1
vote
0
answers
171
views
Boundary Conditions for the given PDE
I'm working on the Black-Scholes equation, but I'm pretty new to financial modeling. Right now, I am trying to understand the Black-Scholes PDE. I understand that the Black-Scholes equation is given b …
2
votes
0
answers
194
views
Modeling First Order Parabolic PDE (Battery Storage Model)
I'm trying to solve the following first order parabolic partial differential equation,
\begin{equation*}
X \frac{\partial V}{ \partial Q} = -\frac{1}{2} \sigma^2 \frac{\partial^2 V}{\partial X^2} + r …
1
vote
1
answer
2k
views
Heat Equation - PDE
I'm trying to model the Black-Scholes Equation (transformed into a heat equation) using method of lines in Python.
The transformed formula is basically
\begin{equation*}
\frac{\partial u}{\partial …
1
vote
Applying the method of lines to parabolic PDEs: references and software
I don't have enough reputation to comment, but I hope this answer helps you.
Personally, I find that I learn best through example. Try looking at the code here to see how MOL was implemented in Python …