TY - JOUR
T1 - Accuracy, robustness, and efficiency of the linear boundary condition for the black-scholes equations
AU - Jeong, Darae
AU - Seo, Seungsuk
AU - Hwang, Hyeongseok
AU - Lee, Dongsun
AU - Choi, Yongho
AU - Kim, Junseok
PY - 2015
Y1 - 2015
N2 - We briefly review and investigate the performance of various boundary conditions such as Dirichlet, Neumann, linear, and partial differential equation boundary conditions for the numerical solutions of the Black-Scholes partial differential equation. We use a finite difference method to numerically solve the equation. To show the efficiency of the given boundary condition, several numerical examples are presented. In numerical test, we investigate the effect of the domain sizes and compare the effect of various boundary conditions with pointwise error and root mean square error. Numerical results show that linear boundary condition is accurate and efficient among the other boundary conditions.
AB - We briefly review and investigate the performance of various boundary conditions such as Dirichlet, Neumann, linear, and partial differential equation boundary conditions for the numerical solutions of the Black-Scholes partial differential equation. We use a finite difference method to numerically solve the equation. To show the efficiency of the given boundary condition, several numerical examples are presented. In numerical test, we investigate the effect of the domain sizes and compare the effect of various boundary conditions with pointwise error and root mean square error. Numerical results show that linear boundary condition is accurate and efficient among the other boundary conditions.
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U2 - 10.1155/2015/359028
DO - 10.1155/2015/359028
M3 - Article
AN - SCOPUS:84925308681
VL - 2015
JO - Discrete Dynamics in Nature and Society
JF - Discrete Dynamics in Nature and Society
SN - 1026-0226
M1 - 359028
ER -