An accurate and efficient numerical method for solving Black-Scholes equation in option pricing

DOI10.1504/IJMOR.2009.022881zbMath1182.91201OpenAlexW2011331359MaRDI QIDQ843396

Jian-Ping Zhu, Wenyuan Liao

Publication date: 12 October 2009

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2009.022881

zbMATH Keywords

option pricingPadé approximationhigher-order algorithmsconvection-diffusion equationsBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Padé approximation (41A21) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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