Journals / Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics / 2012 / Cilt: 61 - Sayı: 2 #74240
Option pricing with Padé approximations
- Pages
- 45–50
- DOI
- —
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 (1; 1), (1; 2), (2; 0), (2; 1), (2; 2) Pade approximations are given at a table.