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

DOI10.1504/IJMOR.2009.022881zbMath1182.91201MaRDI QIDQ843396

Wenyuan Liao, Jian-Ping Zhu

Publication date: 12 October 2009

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

zbMATH Keywords

option pricing; Padé approximation; higher-order algorithms; convection-diffusion equations; Black-Scholes equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

41A21: Padé approximation

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs