Numerical solution of linear and nonlinear Black–Scholes option pricing equations
نویسندگان
چکیده
منابع مشابه
Numerical solution of linear and nonlinear Black-Scholes option pricing equations
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, semidiscreti...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2008
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2008.02.010