Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
An accurate and efficient numerical method for black-scholes equations
Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Jeong, D. | - |
| dc.contributor.author | Kim, J. | - |
| dc.contributor.author | Wee, I.-S. | - |
| dc.date.accessioned | 2021-09-09T00:35:49Z | - |
| dc.date.available | 2021-09-09T00:35:49Z | - |
| dc.date.created | 2021-06-17 | - |
| dc.date.issued | 2009 | - |
| dc.identifier.issn | 1225-1763 | - |
| dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/121948 | - |
| dc.description.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. | - |
| dc.language | English | - |
| dc.language.iso | en | - |
| dc.title | An accurate and efficient numerical method for black-scholes equations | - |
| dc.type | Article | - |
| dc.contributor.affiliatedAuthor | Kim, J. | - |
| dc.contributor.affiliatedAuthor | Wee, I.-S. | - |
| dc.identifier.doi | 10.4134/CKMS.2009.24.4.617 | - |
| dc.identifier.scopusid | 2-s2.0-77954839117 | - |
| dc.identifier.bibliographicCitation | Communications of the Korean Mathematical Society, v.24, no.4, pp.617 - 628 | - |
| dc.relation.isPartOf | Communications of the Korean Mathematical Society | - |
| dc.citation.title | Communications of the Korean Mathematical Society | - |
| dc.citation.volume | 24 | - |
| dc.citation.number | 4 | - |
| dc.citation.startPage | 617 | - |
| dc.citation.endPage | 628 | - |
| dc.type.rims | ART | - |
| dc.type.docType | Article | - |
| dc.identifier.kciid | ART001386498 | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.subject.keywordAuthor | Black-Scholes equations | - |
| dc.subject.keywordAuthor | Finite difference method | - |
| dc.subject.keywordAuthor | Multigrid method | - |
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Science > Department of Mathematics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.