Accurate radial basis functions technique for competitive and efficient solutions of non-linear Black-Scholes equations
نویسندگان
چکیده
منابع مشابه
An Accurate and Efficient Numerical Method for Black-scholes Equations
We present an efficient and accurate finite-difference method for computing Black-Scholes partial differential equations with multiunderlying 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.
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ژورنال
عنوان ژورنال: Revista Gestão & Tecnologia
سال: 2020
ISSN: 2177-6652,1677-9479
DOI: 10.20397/2177-6652/2020.v20i4.2040