The Operator Splitting Method for Black-Scholes Equation

Yassir Daoud, Turgut Öziş
DOI: 10.4236/am.2011.26103                

Abstract

The Operator Splitting method is applied to differential equations occurring as mathematical models in financial models. This paper provides various operator splitting methods to obtain an effective and accurate solution to the Black-Scholes equation with appropriate boundary conditions for a European option pricing problem. Finally brief comparisons of option prices are given by different models.

Keywords

Operator Splitting Method, Black-Scholes Equation, European Option Pricing

Conflicts of Interest

The authors declare no conflicts of interest.

References

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