In financial industry, the option pricing is an important problem. The Operator Splitting Method is commonly applied to solve initial and boundary value problems of partial differential equations. This project presents the numerical solutions to the Black Scholes Equation using various Operator Splitting Methods. Results are compared with the solutions obtained by closed form solution for European call option
Copyright © 2014 J. Guo and W. Wang.This is an open access article distributed under the Creative Co...
The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consum...
Abstract. We present an efficient and accurate finite-difference method for computing Black-Scholes ...
5th International Conference on Management Science and Engineering Management -- NOV 07-09, 2011 -- ...
AbstractWe propose operator splitting methods for solving the linear complementarity problems arisin...
In this work, we present some numerical solutions to the famous Black-Scholes equation. Although a c...
Abstract: In this work, we apply He’s variotional iteration method for obtaining analytic solutions ...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
In this work, we analyse different numerical methods for the approximation to solution of the Black-...
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the t...
Abstract- In this paper, we develop a fast numerical scheme for computing the European option pricin...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
This paper deals with the numerical analysis of nonlinear Black-Scholes equation with transaction co...
Copyright © 2014 J. Guo and W. Wang.This is an open access article distributed under the Creative Co...
The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consum...
Abstract. We present an efficient and accurate finite-difference method for computing Black-Scholes ...
5th International Conference on Management Science and Engineering Management -- NOV 07-09, 2011 -- ...
AbstractWe propose operator splitting methods for solving the linear complementarity problems arisin...
In this work, we present some numerical solutions to the famous Black-Scholes equation. Although a c...
Abstract: In this work, we apply He’s variotional iteration method for obtaining analytic solutions ...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
In this work, we analyse different numerical methods for the approximation to solution of the Black-...
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the t...
Abstract- In this paper, we develop a fast numerical scheme for computing the European option pricin...
An efficient and accurate numerical method for solving the well-known Black-Scholes equation in opti...
This paper deals with the numerical analysis of nonlinear Black-Scholes equation with transaction co...
Copyright © 2014 J. Guo and W. Wang.This is an open access article distributed under the Creative Co...
The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consum...
Abstract. We present an efficient and accurate finite-difference method for computing Black-Scholes ...