{"title":"期权定价的超时间步进算法","authors":"K. N. Uprety, H. Khanal, Ananta Upreti","doi":"10.3126/sw.v13i13.30539","DOIUrl":null,"url":null,"abstract":"We solve the Black Scholes equation for option pricing numerically using an Explicit finite difference method. To overcome the stability restriction of the explicit scheme for parabolic partial differential equations in the time step size Courant-Friedrichs-Lewy (CFL) condition, we employ a Super Time Stepping (STS) strategy based on modified Chebyshev polynomial. The numerical results show that the STS scheme boasts of large efficiency gains compared to the standard explicit Euler method.","PeriodicalId":21637,"journal":{"name":"Scientific World","volume":"52 1","pages":"51-54"},"PeriodicalIF":0.0000,"publicationDate":"2020-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Super-Time-Stepping Scheme for Option Pricing\",\"authors\":\"K. N. Uprety, H. Khanal, Ananta Upreti\",\"doi\":\"10.3126/sw.v13i13.30539\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We solve the Black Scholes equation for option pricing numerically using an Explicit finite difference method. To overcome the stability restriction of the explicit scheme for parabolic partial differential equations in the time step size Courant-Friedrichs-Lewy (CFL) condition, we employ a Super Time Stepping (STS) strategy based on modified Chebyshev polynomial. The numerical results show that the STS scheme boasts of large efficiency gains compared to the standard explicit Euler method.\",\"PeriodicalId\":21637,\"journal\":{\"name\":\"Scientific World\",\"volume\":\"52 1\",\"pages\":\"51-54\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-08-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Scientific World\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3126/sw.v13i13.30539\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Scientific World","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3126/sw.v13i13.30539","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We solve the Black Scholes equation for option pricing numerically using an Explicit finite difference method. To overcome the stability restriction of the explicit scheme for parabolic partial differential equations in the time step size Courant-Friedrichs-Lewy (CFL) condition, we employ a Super Time Stepping (STS) strategy based on modified Chebyshev polynomial. The numerical results show that the STS scheme boasts of large efficiency gains compared to the standard explicit Euler method.
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