Applied Mathematics

Volume 2, Issue 6 (June 2011)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.58  Citations  

The Operator Splitting Method for Black-Scholes Equation

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DOI: 10.4236/am.2011.26103    6,295 Downloads   12,033 Views  Citations




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.

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Y. Daoud and T. Öziş, "The Operator Splitting Method for Black-Scholes Equation," Applied Mathematics, Vol. 2 No. 6, 2011, pp. 771-778. doi: 10.4236/am.2011.26103.

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