Optimization of the Black-Scholes Equation with the Numerical Method of Local Expansion to Minimize Risk Coverage
In this paper, we present an efficient and accurate method for calculating the Black-Scholes differential equations and solve the Black-Scholes equations using Jacoby and Airfoil orthogonal bases, with the collocation method. The Black-Scholes equation is a partial differential equation, which descr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2021-10-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | https://amfa.arak.iau.ir/article_672521_3a43b0683b6c38a4b0abbb506334923d.pdf |