<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are carried out to show the efficiency and robustness of the proposed method. We compare our numerical solution with the ones based on Finite Element Method (FEM) and the Enriched Finite Element Method (PUFEM). Our result shows the efficiency of the proposed strategy. In addition, that approach can be used to treat nonlinear evolutionary problems.</p>
</abstract>

In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are carried out to show the efficiency and robustness of the proposed method. We compare our numerical solution with the ones based on Finite Element Method (FEM) and the Enriched Finite Element Method (PUFEM). Our result shows the efficiency of the proposed strategy. In addition, that approach can be used to treat nonlinear evolutionary problems.

About the valuation of American option under Black-Scholes model : a numerical study

Department of Mathematics, Faculty of Sciences

Moroccan Journal of Pure and Applied Analysis

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing...

About the valuation of American option under Black-Scholes model : a numerical study

Publié en ligne: 01 févr. 2023

Pages: 75 - 85

Reçu: 24 nov. 2022

Accepté: 26 déc. 2022

DOI: https://doi.org/10.2478/mjpaa-2023-0005

Mots clés
American option, Black-Scholes model, heat equation, Finite Element method, ziti method

© 2023 R. Malek, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

About the valuation of American option under Black-Scholes model : a numerical study

Publié en ligne: 01 févr. 2023

Pages: 75 - 85

Reçu: 24 nov. 2022

Accepté: 26 déc. 2022

DOI: https://doi.org/10.2478/mjpaa-2023-0005

Mots clésAmerican option, Black-Scholes model, heat equation, Finite Element method, ziti method

© 2023 R. Malek, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
American option, Black-Scholes model, heat equation, Finite Element method, ziti method