| A Reduced Basis Method for option pricing with constant elasticity of variance |
| کد مقاله : 1054-FEMATH7 |
| نویسندگان |
|
مینا گنجعلی *1، علی صفدری2 1دانشگاه علامه طباطبایی 2هیات علمی |
| چکیده مقاله |
| Black-Scholes pricing theory is one of the most important rule to calculate of option price. Various methods have been introduced for option pricing to overcome to the shortcoming of Black-Scholes model. In this paper, we investigate a reduced basis method and focus on basis functions constructed from a sequence of Black-Scholes solutions with different volatilities to approximate solution of rising equations from option pricing modelling under the constant elasticity of variance model. The main goal of this paper is to present the details of the basis functions and aspects of the basis function under the constant elasticity of variance model. Then, the efficiency of the method presented by numerical example. |
| کلیدواژه ها |
| Raduced basis, Constant elasticity of variance model, Option pricing, Partial differential equation |
| وضعیت: پذیرفته شده برای ارسال فایل های ارائه پوستر |