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
相关论文
共 50 条
  • [31] A highly parallel Black-Scholes solver based on adaptive sparse grids
    Heinecke, Alexander
    Schraufstetter, Stefanie
    Bungartz, Hans-Joachim
    [J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2012, 89 (09) : 1212 - 1238
  • [32] A Stable and Convergent Finite Difference Method for Fractional Black-Scholes Model of American Put Option Pricing
    Kalantari, R.
    Shahmorad, S.
    [J]. COMPUTATIONAL ECONOMICS, 2019, 53 (01) : 191 - 205
  • [33] DOMAIN OF INFLUENCE OF LOCAL VOLATILITY FUNCTION ON THE SOLUTIONS OF THE GENERAL BLACK-SCHOLES EQUATION
    Kim, Hyundong
    Kim, Sangkwon
    Han, Hyunsoo
    Jang, Hanbyeol
    Lee, Chaeyoung
    Kim, Junseok
    [J]. JOURNAL OF THE KOREAN SOCIETY OF MATHEMATICAL EDUCATION SERIES B-PURE AND APPLIED MATHEMATICS, 2020, 27 (01): : 43 - 50
  • [34] A SPLITTING FLUX LIMITER FINITE DIFFERENCE SCHEME FOR THE NONLINEAR BLACK-SCHOLES EQUATION
    Koleva, Miglena N.
    Vulkov, Lubin G.
    [J]. APPLIED AND COMPUTATIONAL MATHEMATICS, 2014, 13 (03) : 381 - 395
  • [35] Generalized measure Black-Scholes equation: towards option self-similar pricing
    Riane, Nizar
    David, Claire
    [J]. OPTIMIZATION AND ENGINEERING, 2024,
  • [36] TIME-FRACTIONAL DYNAMICS MODEL BLACK-SCHOLES: IMPLICATIONS FOR OPTION PRICING STABILITY
    Sivashankar, Murugesan
    Alnegga, Mohammad
    Sabarinathan, Sriramulu
    Guefaifia, Rafik
    [J]. FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY, 2025,
  • [37] The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods
    Ozer, H. Unsal
    Duran, Ahmet
    [J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2018, 5 (03)
  • [38] Group formalism of Lie transformations, conservation laws, exact and numerical solutions of non-linear time-fractional Black-Scholes equation
    Rashidi, Saeede
    Hejazi, S. Reza
    Mohammadizadeh, Fatemeh
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2022, 403
  • [39] An improved approximate method for solving two-dimensional time-fractional-order Black-Scholes model: a finite difference approach
    Prathumwan, Din
    Khonwai, Thipsuda
    Phoochalong, Narisara
    Chaiya, Inthira
    Trachoo, Kamonchat
    [J]. AIMS MATHEMATICS, 2024, 9 (07): : 17205 - 17233
  • [40] The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense
    Sawangtong, Panumart
    Trachoo, Kamonchat
    Sawangtong, Wannika
    Wiwattanapataphee, Benchawan
    [J]. MATHEMATICS, 2018, 6 (08):
12345