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

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

JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, sa.3, ss.657-666, 2010 (SCI-Expanded) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2010
  • Dergi Adı: JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.657-666
  • İstanbul Kültür Üniversitesi Adresli: Evet

Özet

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.