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An accurate and efficient numerical method for black-scholes equations
- Jeong, D.;
- Kim, J.;
- Wee, I.-S.
Citations
SCOPUS
16초록
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.
키워드
Black-Scholes equations; Finite difference method; Multigrid method
- 제목
- An accurate and efficient numerical method for black-scholes equations
- 저자
- Jeong, D.; Kim, J.; Wee, I.-S.
- 발행일
- 2009
- 유형
- Article
- 저널명
- 대한수학회논문집
- 권
- 24
- 호
- 4
- 페이지
- 617 ~ 628