AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR 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.
متن کاملA Fast, Stable and Accurate Numerical Method for the Black–scholes Equation of American Options
In this work we improve the algorithm of Han and Wu (SIAM J. Numer. Anal. 41 (2003), 2081–2095) for American Options with respect to stability, accuracy and order of computational effort. We derive an exact discrete artificial boundary condition (ABC) for the Crank–Nicolson scheme for solving the Black–Scholes equation for the valuation of American options. To ensure stability and to avoid any ...
متن کاملHigh-order Numerical Method for Generalized Black-Scholes Model
This work presents a high order numerical method for the solution of generalized Black-Scholes model for European call option. The numerical method is derived using a two-step backward differentiation formula in the temporal discretization and a High-Order Difference approximation with Identity Expansion (HODIE) scheme in the spatial discretization. The present scheme gives second order accurac...
متن کاملOn the numerical solution of nonlinear Black-Scholes equations
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decades, since they provide more accurate values by taking into account more realistic assumptions, such as transaction costs, risks from an unprotected portfolio, large investor’s preferences or illiquid markets, which may have an impact on the stock price, the volatility, the drift and the option pr...
متن کاملNumerical Solutions for Fractional Black-Scholes Option Pricing Equation
In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications of the Korean Mathematical Society
سال: 2009
ISSN: 1225-1763
DOI: 10.4134/ckms.2009.24.4.617