An accurate and efficient numerical method for black-scholes equations

Darae Jeong, Junseok Kim, In Suk Wee

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)617-628
Number of pages12
JournalCommunications of the Korean Mathematical Society
Volume24
Issue number4
DOIs
Publication statusPublished - 2009

Keywords

  • Black-Scholes equations
  • Finite difference method
  • Multigrid method

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

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