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AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
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 Title & Authors
AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
Jeong, Da-Rae; Kim, Jun-Seok; Wee, In-Suk;
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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
Black-Scholes equations;finite difference method;multigrid method;
 Language
English
 Cited by
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AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL, Journal of the Korea Society for Industrial and Applied Mathematics, 2013, 17, 4, 295  crossref(new windwow)
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PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS, Journal of the Korea Society for Industrial and Applied Mathematics, 2016, 20, 2, 163  crossref(new windwow)
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