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http://dx.doi.org/10.4134/CKMS.2009.24.4.617

AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS  

Jeong, Da-Rae (DEPARTMENT OF MATHEMATICS KOREA UNIVERSITY)
Kim, Jun-Seok (DEPARTMENT OF MATHEMATICS KOREA UNIVERSITY)
Wee, In-Suk (DEPARTMENT OF MATHEMATICS KOREA UNIVERSITY)
Publication Information
Communications of the Korean Mathematical Society / v.24, no.4, 2009 , pp. 617-628 More about this Journal
Abstract
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.
Keywords
Black-Scholes equations; finite difference method; multigrid method;
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