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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.28 No.3
- 발행연도
- 2024.9
- 수록면
- 88 - 95 (8page)
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초록· 키워드
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In this article, we propose an efficient and accurate adaptive time-stepping numerical method for the Black-Scholes (BS) equations. The numerical scheme used is the finite difference method (FDM). The proposed adaptive time-stepping computational scheme is based on the maximum norm of the discrete Laplacian values of option values on a discrete domain. Most numerical solvers for the BS equations require a small time step when there are large variations in the solutions. To resolve this problem, we propose an adaptive time-stepping algorithm that uses a small time step size when the maximum norm of the discrete Laplacian values on a discrete domain is large; otherwise, a larger time step size is used to speed up the computation. To demonstrate the high performance of the proposed adaptive time-stepping methodology, we conduct several computational experiments. The numerical tests confirm that the proposed adaptive time-stepping method improves both the efficiency and accuracy of computations for the BS equations.
목차
ABSTRACT
1. INTRODUCTION
2. PREVIOUS ADAPTIVE TIME-STEPPING METHODS
3. COMPUTATIONAL METHOD
4. NUMERICAL TESTS
5. CONCLUSIONS
REFERENCES
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