Numerical Simulation of Black-Scholes Model by Finite Difference Method

被引：0

作者：

Dong, Lele ^{[1
]}

Xue, Lian ^{[1
]}

Lin, Leiwei ^{[1
]}

Chen, Tuo

Wu, Minghui ^{[1
]}

机构：

[1] Zhejiang Univ City Coll, Sch Comp & Comp Sci, Hangzhou 310015, Zhejiang, Peoples R China

来源：

APPLIED SCIENCE, MATERIALS SCIENCE AND INFORMATION TECHNOLOGIES IN INDUSTRY | 2014年 / 513-517卷

关键词：

Option; Black-Scholes Equation; Numerical Solution;

D O I：

10.4028/www.scientific.net/AMM.513-517.4090

中图分类号：

TU [建筑科学];

学科分类号：

0813 ;

摘要：

Option is the typical representative of financial derivatives, and this paper is focused on the valuation problem of Option. Based on the Black-Scholes Pricing model which had far-reaching influence on the pricing of financial derivatives, researched its theoretical basis and derivation process, and then get the numerical solution via finite difference method and image simulation. And it also includes the part of empirical studies. In research, ZTR and HQ is chosen and analyzed, in order to get the pricing of European put option.

引用

页码：4090 / +

页数：2

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