An accurate and efficient numerical method for solving Black-Scholes equation in option pricing

DOI10.1504/IJMOR.2009.022881zbMATH Open1182.91201OpenAlexW2011331359MaRDI QIDQ843396FDOQ843396

Authors: Wenyuan Liao, Jian-Ping Zhu 

Publication date: 12 October 2009

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

Full work available at URL: https://doi.org/10.1504/ijmor.2009.022881

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zbMATH Keywords

option pricingconvection-diffusion equationsBlack-Scholes equationhigher-order algorithmsPadé approximation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Padé approximation (41A21)

Cited In (5)

• A new method of option pricing based on Black-Scholes model
• Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
• Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations
• An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model

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