Option pricing with Padé approximations

Year 2012, , 45 - 50, 01.08.2012

Canan Köroğlu

https://doi.org/10.1501/Commua1_0000000679

Abstract

In this paper, Pade approximations are applied Black-Scholes model
which reduces to heat equation. This paper shows various Pade approximaitons to obtain an effective and accurate solution to the Black-Scholes equation for a European put/call option pricing problem. At the end of the paper,
results of closed-form solution of Black-Scholes problem , solution of CrankNicolson approach and the solution of (1; 1), (1; 2), (2; 0), (2; 1), (2; 2) Pade
approximations are given at a table.

Keywords

Option pricing, Padé Approximations

References

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