An accurate and efficient numerical method for Black-Scholes equations
Commun. Korean Math. Soc. 2009 Vol. 24, No. 4, 617-628
Printed December 1, 2009
Darae Jeong, Junseok Kim, and In-Suk Wee
Korea University, Korea University, and Korea University
Abstract : 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.
Keywords : Black-Scholes equations, finite difference method, multigrid method
MSC numbers : Primary 65N06, 65M55
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