Adaptive multi-asset Black–Scholes option pricing model and COMSOL implementation

Accurate valuation of options, among the most significant financial derivatives, is critical for the stability and efficiency of the derivatives market. This paper presents a practical and reproducible implementation workflow for solving multi-asset Black–Scholes (BS) pricing partial differential equations (PDEs) using adaptive finite elements in COMSOL Multiphysics. The backward differentiation formula (BDF) is adopted for the time discretization of the BS equation. The COMSOL built-in adaptive