1M.Ashraf, 1N. A. Mir, 2S. Ahmad.
1Department of Mathematics, Riphah International University, Islamabad, Pakistan,
2Informatics complex of computer and control, Pakistan Atomic Energy Commission, Islamabad.
Abstract: A grid adaptive finite difference technique is developed to evaluate digital call option for one asset using Black-Scholes equation. The grid is refined near the exercise price and a coarse grid is generated otherwise. To cope with these uneven space steps, an innovative numerical scheme is developed. The numerical experiments show that the adaptive finite difference method is much more efficient than the method with uniform spacing. An Implicit and Explicit grid adaptive finite difference techniques are established to work with non-uniform grids
[M.Ashraf, N. A. Mir, S. Ahmad. Space Adaptive Numerical Scheme to Solve Black-Scholes Equation. Life Sci J 2013;10(1):994-998] (ISSN:1097-8135). http://www.lifesciencesite.com.
Keywords: Non-uniform grid, Strike price, Digital option, Black-Scholes, Finite Difference method.