A new approach for the black-scholes model with linear and nonlinear volatilities

Basit Öğe Kaydı
dc.authorscopusid57210645950
dc.authorscopusid29068047000
dc.authorscopusid35273355700
dc.contributor.authorGülen, Seda
dc.contributor.authorPopescu, C.
dc.contributor.authorSarı, M.
dc.date.accessioned2022-05-11T14:31:24Z
dc.date.available2022-05-11T14:31:24Z
dc.date.issued2019
dc.departmentFakülteler, Fen Edebiyat Fakültesi, Matematik Bölümü
dc.description.abstractSince financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear Black-Scholes European option pricing models. To achieve this, this article presents a combined method; a sixth order finite difference (FD6) scheme in space and a third-order strong stability preserving Runge-Kutta (SSPRK3) over time. The computed results are compared with available literature and the exact solution. The computed results revealed that the current method seems to be quite strong both quantitatively and qualitatively with minimal computational effort. Therefore, this method appears to be a very reliable alternative and flexible to implement in solving the problem while preserving the physical properties of such realistic processes. © 2019 by the authors.
dc.identifier.doi10.3390/math7080760
dc.identifier.issn2227-7390
dc.identifier.issue8en_US
dc.identifier.scopus2-s2.0-85071194798
dc.identifier.scopusqualityQ2
dc.identifier.urihttps://doi.org/10.3390/math7080760
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7436
dc.identifier.volume7
dc.indekslendigikaynakScopus
dc.institutionauthorGülen, Seda
dc.language.isoen
dc.publisherMDPI AG
dc.relation.ispartofMathematics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectBlack-Scholes equation
dc.subjectEuropean option
dc.subjectHigh-order finite difference
dc.subjectOption pricing modelling
dc.subjectVolatility
dc.titleA new approach for the black-scholes model with linear and nonlinear volatilities
dc.typeArticle

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim
İsim:
7436.pdf
Boyut:
490.16 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Tam Metin / Full Text
İndir

Koleksiyon

Scopus İndeksli Yayınlar Koleksiyonu
Fen Edebiyat Fakültesi Koleksiyonu