An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

An Accurate and Efficient Numerical Method for Black-scholes Equations

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.

Numerical Solution of Fractional Black Scholes Equation Based on Radial Basis Functions Method

Options pricing have an important role in risk control and risk management. Pricing discussion requires modelling process, solving methods and implementing the model by real data in a given market. In this paper we show a model for underlying asset based on fractional stochastic models which is a particular type of behavior of stochastic assets changing. In addition a numerical method based on ...

The use of iterative methods for solving Black-Scholes equation

A Fast, Stable and Accurate Numerical Method for the Black–scholes Equation of American Options

In this work we improve the algorithm of Han and Wu (SIAM J. Numer. Anal. 41 (2003), 2081–2095) for American Options with respect to stability, accuracy and order of computational effort. We derive an exact discrete artificial boundary condition (ABC) for the Crank–Nicolson scheme for solving the Black–Scholes equation for the valuation of American options. To ensure stability and to avoid any ...