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

页码：39 / 64

页数：26

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