Option pricing with Padé approximations

Authors : Canan KÖROĞLU

Pages : 45-50

Doi:10.1501/Commua1_0000000679

View : 9 | Download : 23

Publication Date : 2012-08-01

Article Type : Research Paper

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 CrankNicolson approach and the solution of insert ignore into journalissuearticles values(1; 1);, insert ignore into journalissuearticles values(1; 2);, insert ignore into journalissuearticles values(2; 0);, insert ignore into journalissuearticles values(2; 1);, insert ignore into journalissuearticles values(2; 2); Pade approximations are given at a table.
Keywords : Option pricing, Padé Approximations