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.
| Original language | English |
|---|---|
| Pages (from-to) | 617-628 |
| Number of pages | 12 |
| Journal | Communications of the Korean Mathematical Society |
| Volume | 24 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2009 |
Keywords
- Black-Scholes equations
- Finite difference method
- Multigrid method
ASJC Scopus subject areas
- General Mathematics
- Applied Mathematics