Polynomial differential quadrature method for numerical solution of the generalized Black-Scholes ‎equation

In this paper‎, ‎the polynomial differential quadrature method (PDQM) is implemented to find the numerical solution of the generalized Black-Scholes partial differential equation‎. ‎The PDQM reduces the problem into a system of first order non-linear differential equations and then‎, ‎the obtained system is solved by optimal four-stage‎, ‎order three strong stability-preserving time-stepping Runge-Kutta (SSP-RK۴۳) scheme‎. ‎Numerical examples are given to illustrate the efficiency of the proposed method‎.

کلیدواژه ها:

‎Option pricing‎ ، ‎Generalized Black-Scholes equation‎ ، ‎Numerical solutions‎ ، ‎Polynomial differential quadrature method (PDQM)‎ ، ‎Runge-Kutta method.