کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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473487 | 698792 | 2008 | 9 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Numerical solution of linear and nonlinear Black–Scholes option pricing equations Numerical solution of linear and nonlinear Black–Scholes option pricing equations](/preview/png/473487.png)
This paper deals with the numerical solution of Black–Scholes option pricing partial differential equations by means of semidiscretization technique. For the linear case a fourth-order discretization with respect to the underlying asset variable allows a highly accurate approximation of the solution. For the nonlinear case of interest modeling option pricing with transaction costs, semidiscretization technique provides a competitive numerical solution with respect to others recently given in [B. Düring, M. Fournier, A. Jüngel, Convergence of a high order compact finite difference scheme for a nonlinear Black–Scholes equation, Esaim–Math. Modelling Numer. Anal.–Modelisation Mathematique et Analyse Numerique 38 (2004) 359–369; B. Düring, Black–Scholes type equations: mathematical analysis, parameter identification & numerical solution, Dissertation, University Mainz, July 2005].
Journal: Computers & Mathematics with Applications - Volume 56, Issue 3, August 2008, Pages 813–821