The discretization of the Black-Scholes option pricing model with volatile portfolio risk measure
Abstract
We study in this paper, the discretization of the Black-Scholes option pricing model with volatile portfolio risk measure to obtain the variational formulation of the Black-Scholes option pricing model with volatile portfolio risk measure. This we shall do by using an implicit discretization in time and standard PI conforming finite elements in space with respect to a simplicial triangulation of the spatial domain.
Copyright © 2015 Olunkwa Chidinma, Bright O. Osu. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Cite this article
O. Chidinma, B. O. Osu, The discretization of the Black-Scholes option pricing model with volatile portfolio risk measure, J. Math. Comput. Sci. 5 (2015), 836–847.
BibTeX
@article{Chidinma2015,
author = {Chidinma, Olunkwa and Osu, Bright O.},
title = {The discretization of the Black-Scholes option pricing model with volatile portfolio risk measure},
journal = {J. Math. Comput. Sci.},
volume = {5},
year = {2015},
pages = {836--847},
doi = {}
}