Numerical solution of the three-asset Black-Scholes option pricing model using an efficient hybrid method

被引：0
|
作者：
Delpasand, Razieh [1 ,2 ]
Hosseini, Mohammad Mehdi [1 ,2 ]
机构：
[1] Shahid Bahonar Univ Kerman, Fac Math & Comp, Dept Appl Math, Kerman, Iran
[2] Shahid Bahonar Univ Kerman, Mahani Math Res Ctr, Kerman, Iran
来源：
INTERNATIONAL JOURNAL OF MODELING SIMULATION AND SCIENTIFIC COMPUTING | 2023年 / 14卷 / 02期
关键词：
Three-asset option pricing; Black-Scholes equation; radial basis functions; convergency; FINITE-DIFFERENCE METHOD; AMERICAN OPTIONS; SOLVER;
D O I：
10.1142/S1793962323500356
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In this paper, a numerical method for solving three-asset Black-Scholes partial differential equation is presented. The model is based on the Crank-Nicolson and the radial basis function methods. Also, the convergency of the proposed method is proved. Implementation of the proposed method is specially studied on cash-or-nothing option. The numerical results show the efficiency and high accuracy of the proposed method.
引用
收藏
页数：17
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