Communications of the
Korean Mathematical Society CKMS

ISSN(Print) 1225-1763 ISSN(Online) 2234-3024
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Commun. Korean Math. Soc. 2009; 24(4): 617-628

Printed December 1, 2009

https://doi.org/10.4134/CKMS.2009.24.4.617

Copyright © The Korean Mathematical Society.

An accurate and efficient numerical method for Black-Scholes equations

Darae Jeong, Junseok Kim, and In-Suk Wee

Korea University, Korea University, and Korea University

Abstract

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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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