JOURNAL ARTICLE

Numerical solution of the three-asset Black–Scholes option pricing model using an efficient hybrid method.

  • Published In: International Journal of Modeling, Simulation & Scientific Computing, 2023, v. 14, n. 2. P. 1 1 of 3

  • Database: Applied Science & Technology Source Ultimate 2 of 3

  • Authored By: Delpasand, Razieh; Hosseini, Mohammad Mehdi 3 of 3

Abstract

In this paper, a numerical method for solving three-asset Black–Scholes partial differential equation is presented. The model is based on the Crank–Nicolson and the radial basis function methods. Also, the convergency of the proposed method is proved. Implementation of the proposed method is specially studied on cash-or-nothing option. The numerical results show the efficiency and high accuracy of the proposed method. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:International Journal of Modeling, Simulation & Scientific Computing. 2023/04, Vol. 14, Issue 2, p1
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2023
  • ISSN:17939623
  • DOI:10.1142/S1793962323500356
  • Accession Number:164202741
  • Copyright Statement:Copyright of International Journal of Modeling, Simulation & Scientific Computing is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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