Improved Additive Operator Splitting Algorithms for Basket Option Pricing Model
Xiaozhong Yang, Gaoxin Zhou
Available Online May 2014.
- https://doi.org/10.2991/iccia.2012.104How to use a DOI?
- basket option pricing model, Additive Operator Splitting (AOS), difference schem, stability, numerical experiment.
- In order to solve Black-Scholes equation of basket option pricing model by numerical method. This paper used Additive Operator Splitting (AOS) algorithm to split the multi-dimensional Black-Scholes equation into equivalent one-dimensional equation set, and constructed 'Explicit-Implicit' and 'Implicit-Explicit' schemes to solve it. Then compatibility, stability and convergence of those schemes were analyzed. Finally, this paper compared computation time and precision of the schemes through numerical experiments. 'Explicit-Implicit' and 'Implicit-Explicit' schemes of AOS algorithms have both higher accuracy and faster computing speed and them have practical significance in solving basket option pricing model.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Xiaozhong Yang AU - Gaoxin Zhou PY - 2014/05 DA - 2014/05 TI - Improved Additive Operator Splitting Algorithms for Basket Option Pricing Model BT - Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012) PB - Atlantis Press SP - 433 EP - 436 SN - 1951-6851 UR - https://doi.org/10.2991/iccia.2012.104 DO - https://doi.org/10.2991/iccia.2012.104 ID - Yang2014/05 ER -