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AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

  • Published : 2009.10.31

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.

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  8. On the multidimensional Black–Scholes partial differential equation pp.1572-9338, 2018, https://doi.org/10.1007/s10479-018-3001-1