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An accurate and efficient numerical method for black-scholes equations
- Authors
- Jeong, D.; Kim, J.; Wee, I.-S.
- Issue Date
- 2009
- Keywords
- Black-Scholes equations; Finite difference method; Multigrid method
- Citation
- Communications of the Korean Mathematical Society, v.24, no.4, pp.617 - 628
- Indexed
- SCOPUS
KCI
- Journal Title
- Communications of the Korean Mathematical Society
- Volume
- 24
- Number
- 4
- Start Page
- 617
- End Page
- 628
- ISSN
- 1225-1763
- Abstract
- 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. © 2009 The Korean Mathematical Society.
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Collections - College of Science > Department of Mathematics > 1. Journal Articles
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