Optimal and near-optimal advection-diffusion finite-difference schemes 3. Black-Scholes equation
نویسنده
چکیده
Here c(s, t) is the expected value of the right to buy or sell an asset at some future date, s is the asset price, r(t) is the rate of increase available from alternative riskless investments, and σ(t) is the asset volatility. The right-hand-side terms allow the applicability to be extended beyond the basic European options model. The compactness of the numerical scheme keeps any computer programming elementary. The optimality allows computational resources 0.001 of conventional schemes.
منابع مشابه
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تاریخ انتشار 1999