Option pricing with Padé approximations

Canan Köroğlu

doi:10.1501/Commua1_0000000679

Option pricing with Padé approximations

Year 2012, Volume: 61 Issue: 2, 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

R. C. Merton, Optimum consumption and portfolio rules in a continuous time model, Journal of Economic Theory, Vol.3, No.4(1971), 373-413.
R. C. Merton, Theory of rational option pricing, Bell Journal of Economics and Management Sciences, Vol.4, No.1(1973), 141-183.
F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economiy, Vol.81, No.3(1973), 637-654.
G. D. Smith, Numerical Solution of Partial Diğerential Equations, Clarendon Press, 1982.
P. Brandimarte, Numerical Methods in Finance, Wiley Series, 2002.
R. U. Seydel, Tools for Computational Finance, Springer, 2009.
Ö. U¼gur, An Introduction to Computational Finance, Imperial College Press, 2009. Current address : Department of Mathematics, Hacettepe University, 06800, Ankara, TURKEY E-mail address : ckoroglu@hacettepe.edu.tr URL: http://communications.science.ankara.edu.tr/index.php?series=A1

Year 2012, Volume: 61 Issue: 2, 45 - 50, 01.08.2012

Canan Köroğlu

https://doi.org/10.1501/Commua1_0000000679

Abstract

References

R. C. Merton, Optimum consumption and portfolio rules in a continuous time model, Journal of Economic Theory, Vol.3, No.4(1971), 373-413.
R. C. Merton, Theory of rational option pricing, Bell Journal of Economics and Management Sciences, Vol.4, No.1(1973), 141-183.
F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economiy, Vol.81, No.3(1973), 637-654.
G. D. Smith, Numerical Solution of Partial Diğerential Equations, Clarendon Press, 1982.
P. Brandimarte, Numerical Methods in Finance, Wiley Series, 2002.
R. U. Seydel, Tools for Computational Finance, Springer, 2009.
Ö. U¼gur, An Introduction to Computational Finance, Imperial College Press, 2009. Current address : Department of Mathematics, Hacettepe University, 06800, Ankara, TURKEY E-mail address : ckoroglu@hacettepe.edu.tr URL: http://communications.science.ankara.edu.tr/index.php?series=A1

There are 7 citations in total.

Details

Primary Language	English
Journal Section	Research Articles
Authors	Canan Köroğlu This is me
Publication Date	August 1, 2012
Published in Issue	Year 2012 Volume: 61 Issue: 2

Cite

APA	Köroğlu, C. (2012). Option pricing with Padé approximations. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, 61(2), 45-50. https://doi.org/10.1501/Commua1_0000000679
AMA	Köroğlu C. Option pricing with Padé approximations. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. August 2012;61(2):45-50. doi:10.1501/Commua1_0000000679
Chicago	Köroğlu, Canan. “Option Pricing With Padé Approximations”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 61, no. 2 (August 2012): 45-50. https://doi.org/10.1501/Commua1_0000000679.
EndNote	Köroğlu C (August 1, 2012) Option pricing with Padé approximations. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 61 2 45–50.
IEEE	C. Köroğlu, “Option pricing with Padé approximations”, Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat., vol. 61, no. 2, pp. 45–50, 2012, doi: 10.1501/Commua1_0000000679.
ISNAD	Köroğlu, Canan. “Option Pricing With Padé Approximations”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 61/2 (August 2012), 45-50. https://doi.org/10.1501/Commua1_0000000679.
JAMA	Köroğlu C. Option pricing with Padé approximations. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2012;61:45–50.
MLA	Köroğlu, Canan. “Option Pricing With Padé Approximations”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, vol. 61, no. 2, 2012, pp. 45-50, doi:10.1501/Commua1_0000000679.
Vancouver	Köroğlu C. Option pricing with Padé approximations. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2012;61(2):45-50.