Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)

Improved Additive Operator Splitting Algorithms for Basket Option Pricing Model

Authors
Xiaozhong Yang, Gaoxin Zhou
Corresponding Author
Xiaozhong Yang
Available Online May 2014.
DOI
https://doi.org/10.2991/iccia.2012.104How to use a DOI?
Keywords
basket option pricing model, Additive Operator Splitting (AOS), difference schem, stability, numerical experiment.
Abstract
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.
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Proceedings
Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)
Part of series
Advances in Intelligent Systems Research
Publication Date
May 2014
ISBN
978-94-91216-41-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/iccia.2012.104How to use a DOI?
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  -