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polynomial differential quadrature method for numerical solution of the generalized black-scholes equation
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نویسنده
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sarvari zahra ,ranjbar mojtaba ,rezapour shahram
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منبع
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mathematical analysis and convex optimization - 2021 - دوره : 2 - شماره : 1 - صفحه:119 -130
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چکیده
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In this paper, the polynomial differential quadrature method (pdqm) is implemented to find the numerical solution of the generalized black-scholes partial differential equation. the pdqm reduces the problem into a system of first order non-linear differential equations and then, the obtained system is solved by optimal four-stage, order three strong stability-preserving time-stepping runge-kutta (ssp-rk43) scheme. numerical examples are given to illustrate the efficiency of the proposed method.
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کلیدواژه
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option pricing ,generalized black-scholes equation ,numerical solutions ,polynomial differential quadrature method (pdqm) ,runge-kutta method
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آدرس
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azarbaijan shahid madani university, department of mathematics, iran, kharazmi university, faculty of finance sciences, iran. azarbaijan shahid madani university, department of mathematics, iran, azarbaijan shahid madani university, department of mathematics, iran
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پست الکترونیکی
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rezapourshahram@yahoo.ca
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Authors
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