The Operator Splitting Method for Black-Scholes Equation

• 作者: Turgut ?zi? Yassir Daoud
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: OPERATOR SPLITTING Method BLACK-SCHOLES Equation EUROPEAN OPTION PRICING
• 年，卷（期）: 2011,（6）
• 页码范围: 771-778
• 页数: 8页
• 分类号: O1

摘要

The Operator Splitting method is applied to differential equations occurring as mathematical models in financial models. This paper provides various operator splitting methods to obtain an effective and accurate solution to the Black-Scholes equation with appropriate boundary conditions for a European option pricing problem. Finally brief comparisons of option prices are given by different models.