NUMERICAL APPROXIMATION OF BLACK-SCHOLES EQUATION

被引：0
|
作者：
Dura, Gina [1 ]
Mosneagu, Ana-Maria [1 ]
机构：
[1] Alexandru Ioan Cuza Univ, Dept Math, Iasi 700506, Romania
来源：
ANALELE STIINTIFICE ALE UNIVERSITATII AL I CUZA DIN IASI-SERIE NOUA-MATEMATICA | 2010年 / 56卷 / 01期
关键词：
Black-Scholes equation; European call/put option; payoff; finite-differences method; OPTIONS; MINIMUM; MAXIMUM; ASSETS;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This study deals with well-known Black-Scholes model in a complete financial market. We obtain numerical methods for european and exotic options, for one asset and for two assets models.
引用
收藏
页码：39 / 64
页数：26
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