An Error Estimate of Upwind Method for Generalized Black-Scholes Equation

We consider the Generalized Black-Scholes partial differential equation which is the most generalized mathematical models in financial economics. To evaluate the price of European options, an upwind numerical scheme has been applied without error estimate. In this talk, we shall prove that the scheme converges with O(h + k)-convergence rate and it is numerically stable. Also, numerical results shows that theoretical behaviour.