Finite Difference Method for the Multi-Asset Black-Scholes Equations
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Sangkwon | - |
dc.contributor.author | Jeong, Darae | - |
dc.contributor.author | Lee, Chaeyoung | - |
dc.contributor.author | Kim, Junseok | - |
dc.date.accessioned | 2021-08-31T08:31:47Z | - |
dc.date.available | 2021-08-31T08:31:47Z | - |
dc.date.created | 2021-06-19 | - |
dc.date.issued | 2020-03 | - |
dc.identifier.issn | 2227-7390 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/57380 | - |
dc.description.abstract | In this paper, we briefly review the finite difference method (FDM) for the Black-Scholes (BS) equations for pricing derivative securities and provide the MATLAB codes in the Appendix for the one-, two-, and three-dimensional numerical implementation. The BS equation is discretized non-uniformly in space and implicitly in time. The two- and three-dimensional equations are solved using the operator splitting method. In the numerical tests, we show characteristic examples for option pricing. The computational results are in good agreement with the closed-form solutions to the BS equations. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | MDPI | - |
dc.subject | NUMERICAL-SOLUTION | - |
dc.subject | OPTIONS | - |
dc.subject | SCHEMES | - |
dc.title | Finite Difference Method for the Multi-Asset Black-Scholes Equations | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Junseok | - |
dc.identifier.doi | 10.3390/math8030391 | - |
dc.identifier.scopusid | 2-s2.0-85082405628 | - |
dc.identifier.wosid | 000524085900090 | - |
dc.identifier.bibliographicCitation | MATHEMATICS, v.8, no.3 | - |
dc.relation.isPartOf | MATHEMATICS | - |
dc.citation.title | MATHEMATICS | - |
dc.citation.volume | 8 | - |
dc.citation.number | 3 | - |
dc.type.rims | ART | - |
dc.type.docType | Review | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.subject.keywordPlus | NUMERICAL-SOLUTION | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.subject.keywordPlus | SCHEMES | - |
dc.subject.keywordAuthor | operator splitting method | - |
dc.subject.keywordAuthor | Black-Scholes equations | - |
dc.subject.keywordAuthor | option pricing | - |
dc.subject.keywordAuthor | finite difference method | - |
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