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We present an efficient and accurate finite-difference method for computing Black-Scholes partial
differential equations with multi-underlying 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.
목차
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참고문헌 (18)
참고문헌 신청
Black / 1973 / The pricing of options and corporate liabilities / J. Political Economy 81 (3) : 637 ~ 659
C. Reisinger / 2004 / On multigrid for anisotropic equations and variational inequalities / Comput. Visual. Sci. 7 : 189 ~ 197
D. J. Duffy / 2006 / Finite Difference Methods in Financial Engineering : a partial differential equation approach / John Wiley and Sons
D. Tavella / 2000 / Pricing Financial Instruments - The finite difference method / John Wiley and Sons
E. G. Haug / 2007 / The Complete Guide to Option Pricing Formulas / MaGraw-Hill
C. Reisinger / 2004 / On multigrid for anisotropic equations and variational inequalities / Comput. Visual. Sci. 7 : 189 ~ 197
D. J. Duffy / 2006 / Finite Difference Methods in Financial Engineering : a partial differential equation approach / John Wiley and Sons
D. Tavella / 2000 / Pricing Financial Instruments - The finite difference method / John Wiley and Sons
E. G. Haug / 2007 / The Complete Guide to Option Pricing Formulas / MaGraw-Hill
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