AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK–SCHOLES MODEL
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 정다래 | - |
dc.contributor.author | YIBAO LI | - |
dc.contributor.author | 최용호 | - |
dc.contributor.author | 문경숙 | - |
dc.contributor.author | 김준석 | - |
dc.date.accessioned | 2021-09-06T09:19:03Z | - |
dc.date.available | 2021-09-06T09:19:03Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2013 | - |
dc.identifier.issn | 1226-9433 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/105732 | - |
dc.description.abstract | In this paper, we consider the adaptive multigrid method for solving the Black–Scholes equation to improve the efficiency of the option pricing. Adaptive meshing is generally regarded as an indispensable tool because of reduction of the computational costs. The Black–Scholes equation is discretized using a Crank–Nicolson scheme on block-structured adaptively refined rectangular meshes. And the resulting discrete equations are solved by a fast solver such as a multigrid method. Numerical simulations are performed to confirm the efficiency of the adaptive multigrid technique. In particular, through the comparison of computational results on adaptively refined mesh and uniform mesh, we show that adaptively refined mesh solver is superior to a standard method. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한국산업응용수학회 | - |
dc.title | AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK–SCHOLES MODEL | - |
dc.title.alternative | AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK–SCHOLES MODEL | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 김준석 | - |
dc.identifier.doi | 10.12941/jksiam.2013.17.295 | - |
dc.identifier.bibliographicCitation | Journal of the Korean Society for Industrial and Applied Mathematics, v.17, no.4, pp.295 - 306 | - |
dc.relation.isPartOf | Journal of the Korean Society for Industrial and Applied Mathematics | - |
dc.citation.title | Journal of the Korean Society for Industrial and Applied Mathematics | - |
dc.citation.volume | 17 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 295 | - |
dc.citation.endPage | 306 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001827303 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | adaptive mesh refinement | - |
dc.subject.keywordAuthor | multigrid method | - |
dc.subject.keywordAuthor | Black–Scholes equations | - |
dc.subject.keywordAuthor | Crank–Nicolson scheme | - |
dc.subject.keywordAuthor | option pricing. | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.