Option pricing with Padé approximations
In this paper, Pade approximations are applied Black-Scholes model which reduces to heat equation. This paper shows various Pade approximaitons to obtain an effective and accurate solution to the Black-Scholes equation for a European put/call option pricing problem. At the end of the paper, results of closed-form solution of Black-Scholes problem , solution of CrankNicolson approach and the solution of (1; 1), (1; 2), (2; 0), (2; 1), (2; 2) Pade approximations are given at a table.
Keywords:
Option pricing Padé Approximations,
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- ISSN: 1303-5991
- Yayın Aralığı: Yılda 4 Sayı
- Başlangıç: 1948
- Yayıncı: Ankara Üniversitesi