• Title of article

    POLYNOMIAL DIFFERENTIAL QUADRATURE METHOD FOR NUMERICAL SOLUTION OF THE GENERALIZED BLACK-SCHOLES EQUATION

  • Author/Authors

    sarvari ، ZAHRA Department of Mathematics‎ - ‎Azarbaijan‎ ‎Shahid Madani University‎ , Ranjbar ، Mojtaba Faculty of Finance Sciences - Kharazmi University , Rezapour ، Shahram Department of Mathematics‎ - ‎Azarbaijan‎ ‎Shahid Madani University‎

  • From page
    119
  • To page
    130
  • Abstract
    In this paper, the polynomial differential quadrature method (PDQM) is implemented to find the numerical solution of the generalized Black-Scholes partial differential equation. The PDQM reduces the problem into a system of first order non-linear differential equations and then, the obtained system is solved by optimal four-stage, order three strong stability-preserving time-stepping Runge-Kutta (SSP-RK43) scheme. Numerical examples are given to illustrate the efficiency of the proposed method.
  • Keywords
    Option pricing , Generalized Black , Scholes equation , Numerical solutions , Polynomial differential quadrature method (PDQM) , Runge , Kutta method
  • Journal title
    Mathematical Analysis an‎d Convex Optimization
  • Journal title
    Mathematical Analysis an‎d Convex Optimization
  • Record number

    2658510

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=2658510