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  • 标题:A Study on Numerical Solution of Black-Scholes Model
  • 本地全文:下载
  • 作者:Md. Nurul Anwar ; Laek Sazzad Andallah
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2018
  • 卷号:08
  • 期号:02
  • 页码:372-381
  • DOI:10.4236/jmf.2018.82024
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:In the history of option pricing, Black-Scholes model is one of the most significant models. In this article, the main concern is the numerical solution of the Black-Scholes model (a.k.a. Black/Scholes/Merton) for the European call option in a different way. The model is described and an explicit difference scheme was used for the numerical approximation. The stability condition of the scheme is established through convex combination. A different way was used to obtain the numerical value of the model. Estimation of the relative error was calculated in L1-norm in order to test the accuracy of the scheme. Finally, a comparison of the numerical outcomes with the value obtained by another scheme is given.
  • 关键词:Black-Scholes Model;Numerical Solution;Approximation;Call Option;Error Estimation
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