B-spline solution of the Black-Scholes partial differential equation

Caglar N., Iseri M., Caglar H., ÖZER M.

JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, no.3, pp.657-666, 2010 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Publication Date: 2010
  • Journal Name: JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.657-666
  • Istanbul Kültür University Affiliated: Yes

Abstract

The numerical solutions of several mathematical models In the financial economics arc arising. Most of the models are based on the Black-Scholes partial differential equations. In this paper, the Black-Scholes option pricing model which has been used frequently is solved by using the B-spline functions. The numerical experiments showed that the present method is an applicable technique and gives an exciting results for European option pricing.