Numerical Solution of Black-scholes Equation Using Bernstein Multi-scaling Functions
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Authors
M. Moradipour
- Department of Mathematics, Shahid Beheshti University, G.C., Tehran, Iran
S. A. Yousefi
- Department of Mathematics, Shahid Beheshti University, G.C., Tehran, Iran
Abstract
A numerical method for solving Black-Scholes equation is presented. The method is based upon Bernstein multi-scaling basis approximations. The properties of Bernstein multi-scaling functions are first presented. These properties together with the forward Euler and Ritz-Galerkin method are then utilized to reduce the Black-Scholes equation to the solution of algebraic equations. Illustrative example is included to demonstrate the validity and applicability of the new technique.
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ISRP Style
M. Moradipour, S. A. Yousefi, Numerical Solution of Black-scholes Equation Using Bernstein Multi-scaling Functions, Journal of Mathematics and Computer Science, 15 (2015), no. 4, 272-280
AMA Style
Moradipour M., Yousefi S. A., Numerical Solution of Black-scholes Equation Using Bernstein Multi-scaling Functions. J Math Comput SCI-JM. (2015); 15(4):272-280
Chicago/Turabian Style
Moradipour, M., Yousefi, S. A.. "Numerical Solution of Black-scholes Equation Using Bernstein Multi-scaling Functions." Journal of Mathematics and Computer Science, 15, no. 4 (2015): 272-280
Keywords
- Bernstein polynomial
- Bernstein multi-scaling functions
- Black-Scholes equation
- Euler method
- Ritz-Galerkin method.
MSC
References
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