AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

被引：14

作者：

Jeong, Darae ^{[1
]}

Kim, Junseok ^{[1
]}

Wee, In-Suk ^{[1
]}

机构：

[1] Korea Univ, Dept Math, Seoul 136701, South Korea

来源：

COMMUNICATIONS OF THE KOREAN MATHEMATICAL SOCIETY | 2009年 / 24卷 / 04期

关键词：

Black-Scholes equations; finite difference method; multigrid method;

D O I：

10.4134/CKMS.2009.24.4.617

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

收藏

页码：617 / 628

页数：12

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