OPTION PRICING WITH PADE APPROXIMATIONS
COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS, cilt.61, sa.2, ss.45-50, 2012 (ESCI, TRDizin)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 61 Sayı: 2
- Basım Tarihi: 2012
- Doi Numarası: 10.1501/commua1_0000000679
- Dergi Adı: COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS
- Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
- Sayfa Sayıları: ss.45-50
- Hacettepe Üniversitesi Adresli: Evet
Özet
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.