کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4640119 | 1341262 | 2011 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A robust and accurate finite difference method for a generalized Black–Scholes equation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A robust and accurate finite difference method for a generalized Black–Scholes equation A robust and accurate finite difference method for a generalized Black–Scholes equation](/preview/png/4640119.png)
چکیده انگلیسی
In this paper we present a numerical method for a generalized Black–Scholes equation, which is used for option pricing. The method is based on a central difference spatial discretization on a piecewise uniform mesh and an implicit time stepping technique. Our scheme is stable for arbitrary volatility and arbitrary interest rate, and is second-order convergent with respect to the spatial variable. Furthermore, the present paper efficiently treats the singularities of the non-smooth payoff function. Numerical results support the theoretical results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 13, 1 May 2011, Pages 3728–3733
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 13, 1 May 2011, Pages 3728–3733
نویسندگان
Zhongdi Cen, Anbo Le,