논문KCI 등재
An accurate and efficient numerical method for Black-Scholes equations
대한수학회 (The Korean Mathematical Society)|2009.10|대한수학회논문집 (Communications of the KMS)|제24권 제4호|pp. 617-628
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주제분류수학
초록
We present an efficient and accurate finite-difference method for computing Black-Scholes partial differential equations with multi-underlying assets. We directly solve Black-Scholes equations without transformations of variables. We provide computational results showing the performance of the method for two underlying asset option pricing problems.
Abstract
We present an efficient and accurate finite-difference method for computing Black-Scholes partial differential equations with multi-underlying assets. We directly solve Black-Scholes equations without transformations of variables. We provide computational results showing the performance of the method for two underlying asset option pricing problems.
참고문헌 (18)
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