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Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations
Joint Authors
Jeong, Darae
Kim, Junseok
Seo, Seungsuk
Hwang, Hyeongseok
Lee, Dongsun
Choi, Yongho
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-03-02
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
We briefly review and investigate the performance of various boundary conditions such as Dirichlet, Neumann, linear, and partial differential equation boundary conditions for the numerical solutions of the Black-Scholes partial differential equation.
We use a finite difference method to numerically solve the equation.
To show the efficiency of the given boundary condition, several numerical examples are presented.
In numerical test, we investigate the effect of the domain sizes and compare the effect of various boundary conditions with pointwise error and root mean square error.
Numerical results show that linear boundary condition is accurate and efficient among the other boundary conditions.
American Psychological Association (APA)
Jeong, Darae& Seo, Seungsuk& Hwang, Hyeongseok& Lee, Dongsun& Choi, Yongho& Kim, Junseok. 2015. Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations. Discrete Dynamics in Nature and Society،Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1060481
Modern Language Association (MLA)
Jeong, Darae…[et al.]. Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations. Discrete Dynamics in Nature and Society No. 2015 (2015), pp.1-10.
https://search.emarefa.net/detail/BIM-1060481
American Medical Association (AMA)
Jeong, Darae& Seo, Seungsuk& Hwang, Hyeongseok& Lee, Dongsun& Choi, Yongho& Kim, Junseok. Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations. Discrete Dynamics in Nature and Society. 2015. Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1060481
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1060481