Polynomial differential quadrature method for numerical solution of the generalized Black-Scholes ‎equation

Author(s):

‎Zahra‎‎ ‎ Sarvari , Mojtaba Ranjbar* , Shahram Rezapour

Message:
Article Type:
Research/Original Article (بدون رتبه معتبر)
Abstract:

In this paper‎, ‎the polynomial differential quadrature method (PDQM) is implemented to find the numerical solution of the generalized Black-Scholes partial differential equation‎. ‎The PDQM reduces the problem into a system of first order non-linear differential equations and then‎, ‎the obtained system is solved by optimal four-stage‎, ‎order three strong stability-preserving time-stepping Runge-Kutta (SSP-RK43) scheme‎. ‎Numerical examples are given to illustrate the efficiency of the proposed method‎.

Keywords:

‎Option pricing‎ , ‎Generalized Black-Scholes equation‎ , ‎Numerical solutions‎ , ‎Polynomial differential quadrature method (PDQM)‎ , ‎Runge-Kutta method

Language:
English
Published:
Journal of Mathematical Analysis and Convex Optimization, Volume:2 Issue: 1, 2021
Pages:
119 to 130
https://www.magiran.com/p2289453