This paper deals with the numerical solution of Black-Scholes option pricing partial differential equations by means of semidiscretization technique. For the linear case a fourth-order discretization with respect to the underlying asset variable allows a highly accurate approximation of the solution
✦ LIBER ✦
Numerical solution of modified Black–Scholes equation pricing stock options with discrete dividend
✍ Scribed by R. Company; A.L. González; L. Jódar
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 254 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0895-7177
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Explicit solution of Black–Scholes optio
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This paper deals with the construction of explicit solutions of the Black-Scholes equation with a weak payoff function. By using the Mellin transform of a class of weak functions a candidate integral formula for the solution is first obtained and then it is proved that it is a rigorous solution of t