AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

被引：14
|
作者：
Jeong, Darae [1 ]
Kim, Junseok [1 ]
Wee, In-Suk [1 ]
机构：
[1] Korea Univ, Dept Math, Seoul 136701, South Korea
来源：
COMMUNICATIONS OF THE KOREAN MATHEMATICAL SOCIETY | 2009年 / 24卷 / 04期
关键词：
Black-Scholes equations; finite difference method; multigrid method;
D O I：
10.4134/CKMS.2009.24.4.617
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We present an efficient and accurate finite-difference method for computing Black-Scholes partial differential equations with multi-underlying 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.
引用
收藏
页码：617 / 628
页数：12
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