Add to ORKGIn this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thomée (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation. The algorithm is of arbitrary high convergence rate and naturally parallelizable. It is shown that the method is very efficient for calculating various option prices. Existence and uniqueness properties of the Laplace transformed Black-Scholes equation are analyzed. Also a transparent boundary condition associated with the Laplace transformation method is proposed. Several nu-merical results for various options under various situations confirm the efficiency, convergence and parallelization property of the proposed scheme. REFERENCES 1. H. Lee and D. Sheen. Laplace trans...
In this article, we present a simplified means of pricing Asian options using partial differential e...
In this article, the solution of the linear variant of a Barrier Option Black-Scholes Model (BOBSM) ...
The objective of the work is essentially to construct an approximate solution of the generalization ...
In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and ...
Abstract. In this paper we apply the innovative Laplace transformation method introduced by Sheen, S...
This paper introduces an efficient approach to solve the Black-Scholes Partial Differential Equatio...
ABSTRACT: Solving the Black-Scholes PDE of the arithmetic Asian options is one of the most difficult...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
The pricing of options is a very important problem encountered in financial domain. The famous Black...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
The Black Scholes model is a well-known and useful mathematical model in financial markets. In this p...
Abstract. We present an efficient and accurate finite-difference method for computing Black-Scholes ...
Financial derivatives plays a major role in all financial deals these days. Black–Scholes option pri...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
In this article, we present a simplified means of pricing Asian options using partial differential e...
In this article, the solution of the linear variant of a Barrier Option Black-Scholes Model (BOBSM) ...
The objective of the work is essentially to construct an approximate solution of the generalization ...
In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and ...
Abstract. In this paper we apply the innovative Laplace transformation method introduced by Sheen, S...
This paper introduces an efficient approach to solve the Black-Scholes Partial Differential Equatio...
ABSTRACT: Solving the Black-Scholes PDE of the arithmetic Asian options is one of the most difficult...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
The pricing of options is a very important problem encountered in financial domain. The famous Black...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
The Black Scholes model is a well-known and useful mathematical model in financial markets. In this p...
Abstract. We present an efficient and accurate finite-difference method for computing Black-Scholes ...
Financial derivatives plays a major role in all financial deals these days. Black–Scholes option pri...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
In this article, we present a simplified means of pricing Asian options using partial differential e...
In this article, the solution of the linear variant of a Barrier Option Black-Scholes Model (BOBSM) ...
The objective of the work is essentially to construct an approximate solution of the generalization ...