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An accurate and efficient numerical method for Black-Scholes equations

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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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  15. R. Seydel, "Tools for Computational Finance" (2003), Springer Verlag
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  18. U. Trottenberg, "Multigrid" (2001), Academic press

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