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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 …
meraxes's user avatar
  • 215
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 …
meraxes's user avatar
  • 215
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 …
meraxes's user avatar
  • 215
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 …
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