The Operator Splitting Method for the Black-Scholes Equation

Authors

Presenter(s)

Wenfeng Wu

Files

Description

In financial industry, the option pricing is an important problem. The Operator Splitting Method is commonly applied to solve initial and boundary value problems of partial differential equations. This project presents the numerical solutions to the Black Scholes Equation using various Operator Splitting Methods. Results are compared with the solutions obtained by closed form solution for European call option.

Publication Date

4-24-2019

Project Designation

Graduate Research

Primary Advisor

Muhammad Usman

Primary Advisor's Department

Mathematics

Keywords

Stander Symposium project

Recommended Citation

"The Operator Splitting Method for the Black-Scholes Equation" (2019). Stander Symposium Projects. 1501.
https://ecommons.udayton.edu/stander_posters/1501