The Operator Splitting Method for the Black-Scholes Equation
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.
Primary Advisor's Department
Stander Symposium poster
"The Operator Splitting Method for the Black-Scholes Equation" (2019). Stander Symposium Posters. 1501.