Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

  • Published : 2009.10.31
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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

References

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