Article
Cited 12 time in 
Cited 14 time in 
Cited 14 time in
Metadata Downloads
Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Ahn, J | - |
| dc.contributor.author | Kang, S | - |
| dc.contributor.author | Kwon, Y | - |
| dc.date.accessioned | 2016-04-01T02:43:39Z | - |
| dc.date.available | 2016-04-01T02:43:39Z | - |
| dc.date.created | 2010-11-23 | - |
| dc.date.issued | 2010-02 | - |
| dc.identifier.issn | 0895-7177 | - |
| dc.identifier.other | 2010-OAK-0000021863 | - |
| dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/25660 | - |
| dc.description.abstract | An efficient numerical method for solving the Black-Scholes equation is developed. Based on the adaptive numerical inverse Laplace transform and the finite difference method, the scheme computes the European option prices. The computational costs for the method are reduced significantly compared with those for the conventional time-marching schemes. The accuracy and the efficiency of the method are shown through the numerical simulations. (C) 2009 Elsevier Ltd. All rights reserved. | - |
| dc.description.statementofresponsibility | X | - |
| dc.language | English | - |
| dc.publisher | PERGAMON-ELSEVIER SCIENCE LTD | - |
| dc.relation.isPartOf | MATHEMATICAL AND COMPUTER MODELLING | - |
| dc.subject | Black-Scholes equation | - |
| dc.subject | Inverse Laplace transform | - |
| dc.subject | Finite difference method | - |
| dc.subject | NUMERICAL INVERSION | - |
| dc.subject | APPROXIMATION | - |
| dc.subject | OPTIONS | - |
| dc.subject | MODEL | - |
| dc.title | A Laplace transform finite difference method for the Black-Scholes equation | - |
| dc.type | Article | - |
| dc.contributor.college | 수학과 | - |
| dc.identifier.doi | 10.1016/J.MCM.2009.08.012 | - |
| dc.author.google | Ahn, J | - |
| dc.author.google | Kang, S | - |
| dc.author.google | Kwon, Y | - |
| dc.relation.volume | 51 | - |
| dc.relation.issue | 3-4 | - |
| dc.relation.startpage | 247 | - |
| dc.relation.lastpage | 255 | - |
| dc.contributor.id | 10052187 | - |
| dc.relation.journal | MATHEMATICAL AND COMPUTER MODELLING | - |
| dc.relation.index | SCI급, SCOPUS 등재논문 | - |
| dc.relation.sci | SCIE | - |
| dc.collections.name | Conference Papers | - |
| dc.type.rims | ART | - |
| dc.identifier.bibliographicCitation | MATHEMATICAL AND COMPUTER MODELLING, v.51, no.3-4, pp.247 - 255 | - |
| dc.identifier.wosid | 000273045000015 | - |
| dc.date.tcdate | 2019-02-01 | - |
| dc.citation.endPage | 255 | - |
| dc.citation.number | 3-4 | - |
| dc.citation.startPage | 247 | - |
| dc.citation.title | MATHEMATICAL AND COMPUTER MODELLING | - |
| dc.citation.volume | 51 | - |
| dc.contributor.affiliatedAuthor | Kwon, Y | - |
| dc.identifier.scopusid | 2-s2.0-72149100168 | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalClass | 1 | - |
| dc.description.wostc | 6 | - |
| dc.description.scptc | 5 | * |
| dc.date.scptcdate | 2018-05-121 | * |
| dc.type.docType | Article; Proceedings Paper | - |
| dc.subject.keywordAuthor | Black-Scholes equation | - |
| dc.subject.keywordAuthor | Inverse Laplace transform | - |
| dc.subject.keywordAuthor | Finite difference method | - |
| dc.relation.journalWebOfScienceCategory | Computer Science, Interdisciplinary Applications | - |
| dc.relation.journalWebOfScienceCategory | Computer Science, Software Engineering | - |
| dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Computer Science | - |
| dc.relation.journalResearchArea | Mathematics | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
Communities & Collection
Related Researcher
- 권용훈KWON, YONGHOON
- Dept of Mathematics