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
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
