Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Perpetual American Put Option: an Error Estimator for Non-Standard
  Finite Difference Scheme   In this paper we present a MATLAB version of a non-standard finite difference
scheme for the numerical solution of the perpetual American put option models
of financial markets. These models can be derived from the celebrated
Black-Scholes models letting the time goes to infinity. The considered problem
is a free boundary problem defined on a semi-infinite interval, so that it is a
non-linear problem complicated by a boundary condition at infinity. By using
non-uniform maps, we show how it is possible to apply the boundary condition at
infinity exactly. Moreover, we define a posteriori error estimator that is
based on Richardson's classical extrapolation theory. Our finite difference
scheme and error estimator are favourably tested for a simple problem with a
known exact analytical solution.

19
The categories of this paper are: eess
33
The categories of this paper are: plasm-ph
28
The categories of this paper are: alg-geom
3
The categories of this paper are: physics
30
The categories of this paper are: q-alg
20
The categories of this paper are: acc-phys
14
The categories of this paper are: math-ph
9
The categories of this paper are: nlin
34
The categories of this paper are: chem-ph
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
18
The categories of this paper are: econ
5
The categories of this paper are: gr-qc
31
The categories of this paper are: ao-sci
13
The categories of this paper are: quant-ph
29
The categories of this paper are: funct-an