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.
Birincil Dil | İngilizce |
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Bölüm | Research Article |
Yazarlar | |
Yayımlanma Tarihi | 1 Ağustos 2012 |
Yayımlandığı Sayı | Yıl 2012 Cilt: 61 Sayı: 2 |
Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics.
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