مشخصات پژوهش

عنوان	Alternating Direction Explicit Scheme with Combination of Ka-Shifting Method for Option Pricing
نوع پژوهش	مقاله ارائه‌شده
کلیدواژه‌ها	Alternating direction explicit method, Ka-shifting scheme, Black-Scholes model
چکیده	In this work we combine an alternating direction explicit(ADE) scheme with Ka-shifting method for option pricing in Black-Scholes(B-S) model to get more accurate option value. ADE scheme is an explicit and also unconditionally stable scheme of order two. Therefore would be an efficient method like implicit schemes for solving partial differential equations(PDEs). Numerical examples of ADE scheme with and without K -shifting method have been given to demonstrate the simplicity and the computational efficiency of this combination.
پژوهشگران	سیما مشایخی (نفر اول)