Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method
Author
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-18
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed.
Black-Scholes model is a very useful tool on pricing options.
First, an adaptive wavelet interpolation operator is constructed which can transform the nonlinear partial differential equations into a matrix ordinary differential equations.
Next, VIM is developed to solve the nonlinear matrix differential equation, which is a new asymptotic analytical method for the nonlinear differential equations.
Third, an adaptive precise integration method (PIM) for the system of ordinary differential equations is constructed, with which the almost exact numerical solution can be obtained.
At last, the famous Black-Scholes model is taken as an example to test this new method.
The numerical result shows the method's higher numerical stability and precision.
American Psychological Association (APA)
Yan, Huahong. 2013. Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-494546
Modern Language Association (MLA)
Yan, Huahong. Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method. Abstract and Applied Analysis No. 2013 (2013), pp.1-6.
https://search.emarefa.net/detail/BIM-494546
American Medical Association (AMA)
Yan, Huahong. Adaptive Wavelet Precise Integration Method for Nonlinear Black-Scholes Model Based on Variational Iteration Method. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-494546
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-494546