Add to ORKGAbstract. 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. 1
Abstract—Black-Scholes equation is the basic equation of option pricing in financial mathematics, it...
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equa...
In [7], we proved that the American (call/put) option valuation problem can be stated in terms of on...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
Financial engineering problems are of great importance in the academic community and BlackScholes eq...
Financial engineering problems are of great importance in the academic community and BlackScholes eq...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
using finite difference methods A benchmark mathematical model for the description of financial deri...
The pricing of options is a very important problem encountered in financial domain. The famous Black...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
The finite difference method is a mathematical construct that can be used to solve partial different...
Finance is a rapidly growing area in our banking world today. With this ever-increasing development ...
Abstract—Black-Scholes equation is the basic equation of option pricing in financial mathematics, it...
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equa...
In [7], we proved that the American (call/put) option valuation problem can be stated in terms of on...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
Financial engineering problems are of great importance in the academic community and BlackScholes eq...
Financial engineering problems are of great importance in the academic community and BlackScholes eq...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
using finite difference methods A benchmark mathematical model for the description of financial deri...
The pricing of options is a very important problem encountered in financial domain. The famous Black...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
The finite difference method is a mathematical construct that can be used to solve partial different...
Finance is a rapidly growing area in our banking world today. With this ever-increasing development ...
Abstract—Black-Scholes equation is the basic equation of option pricing in financial mathematics, it...
This work deals with the put option pricing problems based on the time-fractional Black-Scholes equa...
In [7], we proved that the American (call/put) option valuation problem can be stated in terms of on...