The Operator Splitting Method for Black-Scholes Equation

Yassir Daoud, Turgut Öziş
2011 Applied Mathematics  
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.
doi:10.4236/am.2011.26103 fatcat:yice33mywvfxzdb566woom6qhe