Detailed Information

Cited 0 time in webofscience Cited 0 time in scopus
Metadata Downloads

Finite Difference Method for the Multi-Asset Black-Scholes Equations

Authors
Kim, SangkwonJeong, DaraeLee, ChaeyoungKim, Junseok
Issue Date
3월-2020
Publisher
MDPI
Keywords
operator splitting method; Black-Scholes equations; option pricing; finite difference method
Citation
MATHEMATICS, v.8, no.3
Indexed
SCIE
SCOPUS
Journal Title
MATHEMATICS
Volume
8
Number
3
URI
https://scholar.korea.ac.kr/handle/2021.sw.korea/57380
DOI
10.3390/math8030391
ISSN
2227-7390
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.
Files in This Item
There are no files associated with this item.
Appears in
Collections
College of Science > Department of Mathematics > 1. Journal Articles

qrcode

Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Researcher Kim, Jun seok photo

Kim, Jun seok
이과대학 (수학과)
Read more

Altmetrics

Total Views & Downloads

BROWSE