Lin, Shao-Bin; Chen, Chun-Da - In: Economic Modelling 33 (2013) C, pp. 533-536
This paper presents a European option pricing model by applying the Model-Order-Reduction (MOR) method. A European option pricing theorem based on Black–Scholes' equation is implemented by the Finite-Difference Method (FDM). However, the numerical models generated by the FDM could be...