Dergiler / Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics / 2012 / Cilt: 61 - Sayı: 2

OPTION PRICING WITH PADE APPROXIMATIONS

OPTION PRICING WITH PADE APPROXIMATIONS

CANAN KÖROĞLU

Sayfa
45–50
DOI
—

Abstract

In this paper, Padé approximations are applied Black-Scholes model which reduces to heat equation. This paper shows various Padé approxi- maitons to obtain an e¤ective and accurate solution to the Black-Scholes equa- tion 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 Crank- Nicolson approach and the solution of (1; 1), (1; 2), (2; 0), (2; 1), (2; 2) Padé approximations are given at a table.