A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2014; you can also visit the original URL.
The file type is application/pdf
.
The Operator Splitting Method for Black-Scholes Equation
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