|تعداد مشاهده مقاله||23,639,878|
|تعداد دریافت فایل اصل مقاله||21,726,311|
A new approach to using the cubic B-spline functions to solve the Black-Scholes equation
|Journal of New Researches in Mathematics|
|مقاله 7، دوره 5، شماره 18، مرداد و شهریور 2019، صفحه 71-80 اصل مقاله (464.78 K)|
|نوع مقاله: research paper|
|Hossein Aminikhah 1؛ Seyyed Javad Alavi2|
|1Associate Professor, Department of Applied Mathematics and Computer Science, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.|
|2PhD student, Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.|
|Nowadays, options are common financial derivatives. For this reason, by increase of applications for these financial derivatives, the problem of options pricing is one of the most important economic issues. With the development of stochastic models, the need for randomly computational methods caused the generation of a new field called financial engineering. In the financial engineering the presentation of Black-Scholes model in 1973, attracted the attention of economists to the partial differential equations more than past. Therefore, we need a simple and precise solution for this kind of partial differential equations to determine the pricing option contracts. In this article the cubic B-spline collocation method has been used in the form of a difference method to solving Black-Scholes partial differential equation. Using this method as simplicity as finite difference method and does not have complex computation of traditional B-spline collocation method. The use of this method leads to a system of tridiagonal algebraic equations which is suitable for computer programming. The stability and convergence of this method is discussed and numerical results are presented for European and American options.|
|Black-Scholes equation؛ European and American option difference schemes؛ B-spline function؛ Stability؛ Convergence|
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