FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

DOI10.12941/jksiam.2019.23.019zbMath1431.91434OpenAlexW3099433752MaRDI QIDQ5213111

Youngjin Heo, Yongho Choi, Junseok Kim, Hyun-Soo Han, Hanbyeol Jang

Publication date: 31 January 2020

Full work available at URL: http://koreascience.or.kr:80/article/JAKO201913457809092.pdf

zbMATH Keywords

greeksfinite difference methodoption pricingboundary conditionBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing the American options: a closed-form, simple formula ⋮ Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods

Uses Software

• Matlab

Cites Work

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