OPTION PRICING WITH PADE APPROXIMATIONS


KÖROĞLU C.

COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS, vol.61, no.2, pp.45-50, 2012 (ESCI) identifier

Abstract

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 Crank-Nicolson approach and the solution of (1, 1), (1, 2), (2, 0), (2, 1), (2, 2) Pads approximations are given at a table.