An accurate and efficient numerical method for black-scholes equations

Darae Jeong, Junseok Kim, In-Suk Wee

Research output: Contribution to journalArticle

11 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 Dec 1

Fingerprint

Black-Scholes Equation
Asset Pricing
Black-Scholes
Option Pricing
Finite difference method
Partial differential equations
Difference Method
Computational Results
Numerical methods
Finite Difference
Partial differential equation
Numerical Methods
Computing
Costs

Keywords

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

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

Cite this

An accurate and efficient numerical method for black-scholes equations. / Jeong, Darae; Kim, Junseok; Wee, In-Suk.

In: Communications of the Korean Mathematical Society, Vol. 24, No. 4, 01.12.2009, p. 617-628.

Research output: Contribution to journalArticle

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