An Accurate and Efficient Numerical Method for Black-scholes Equations
نویسندگان
چکیده
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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تاریخ انتشار 2009