Numerical Solutions of Black-Scholes Model by Du Fort-Frankel FDM and Galerkin WRM
نویسندگان
چکیده
منابع مشابه
Analysis of the Du Fort-Frankel method for linear systems
© AFCET, 1985, tous droits réservés. L’accès aux archives de la revue « Modélisation mathématique et analyse numérique » implique l’accord avec les conditions générales d’utilisation (http://www.numdam.org/legal.php). Toute utilisation commerciale ou impression systématique est constitutive d’une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de cop...
متن کاملConfidence Interval for Solutions of the Black-Scholes Model
The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mel...
متن کاملNumerical 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.
متن کاملHigh-order Numerical Method for Generalized Black-Scholes Model
This work presents a high order numerical method for the solution of generalized Black-Scholes model for European call option. The numerical method is derived using a two-step backward differentiation formula in the temporal discretization and a High-Order Difference approximation with Identity Expansion (HODIE) scheme in the spatial discretization. The present scheme gives second order accurac...
متن کاملParallel Efficient Three-dimensional Beam Propagation Method Using the Du Fort – Frankel Technique
We implement the Du Fort]Frankel modified explicit ( ) finite-difference beam propagation method MEFD to model threedimensional optical de ̈ices using parallel computers. Accuracy comparisons with other parallel FD]BPMs are made, and we obser̈ e that the MEFD is ̈ery accurate and efficient. The parallel implementation of MEFD shows a large run-time computer sa ̈ings compared to other parallel FD]B...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Mathematical Research
سال: 2020
ISSN: 2311-7427,2306-2223
DOI: 10.18488/journal.24.2020.91.1.10