A practical finite difference method for the three-dimensional Black-Scholes equation

DOI10.1016/j.ejor.2015.12.012zbMath1346.91258MaRDI QIDQ322864

Junseok Kim, Taekkeun Kim, Jaehyun Jo, Yongho Choi, Seunggyu Lee, Hyeongseok Hwang, Minhyun Yoo, Darae Jeong

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.012

zbMATH Keywords

option pricing; operator splitting method; Black-Scholes partial differential equation; equity-linked securities; non-uniform grid

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Uses Software

• Mathematica