Explicit Finite Difference Methods and Its Stability on Black-Scholes Model

摘要：

This paper shows finite difference method for solving the Black-Scholes problems. The proposed FDM aims to make the process efficiently. Then the stability of the FDM was proposed. Finally, a numerical example is given to illustrate the ability of the proposed method to Black-Scholes problems.

关键词： Black-Scholes formula finite difference method Fourier stability option

作者: Lu Huapu Yu Xinxin Li Yue Zhao Xiaoqiang Dai Shuai

作者单位: Institute of Transportation Engineering Tsinghua University Beijing, China

会议类型: 国际会议

会议名称: 2010 International Conference on Intelligent Computation Technology and Automation(2010 智能计算技术与自动化国际会议 ICICTA 2010)

会议地点: 长沙

会议语种:英文

页码: 1447-1450

在线出版日期: 2010-05-11（万方平台首次上网日期，不代表论文的发表时间）