文章基本信息

标题：Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations
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作者：Darae Jeong ; Seungsuk Seo ; Hyeongseok Hwang 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2015
卷号：2015
DOI：10.1155/2015/359028
出版社：Hindawi Publishing Corporation
摘要：We briefly review and investigate the performance of various boundary conditions such as Dirichlet, Neumann, linear, and partial differential equation boundary conditions for the numerical solutions of the Black-Scholes partial differential equation. We use a finite difference method to numerically solve the equation. To show the efficiency of the given boundary condition, several numerical examples are presented. In numerical test, we investigate the effect of the domain sizes and compare the effect of various boundary conditions with pointwise error and root mean square error. Numerical results show that linear boundary condition is accurate and efficient among the other boundary conditions.