A new kind of effective difference schemes for solving the payment of dividend Black-Scholes equation

摘要：

Black-Scholes equation is an important model in option pricing theory of financial,which is very practical in the application of numerical computation.In this paper,we construct a new kind of effective difference schemes (Explicit-Implicit and Implicit-Explicit scheme) for solving the payment of dividend Black-Scholes equation,give the schemes of the convergence,stability of analysis and error estimates.The analysis demonstrates the schemes have same amount calculation,which is less than the classical Crank-Nicloson schemes.Finally,the numerical example shows the efficiencies of the schemes.

关键词： payment of dividend Black-Sholes equation Explicit-Implicit scheme Implicit-Explicit scheme computing stablity convergence error estmate

作者: Xiaozhong Yang Lifei Wu

作者单位: School of mathematics and physics North China Electric Power University Beijing,China School of mathematics and physics North China Electric Power University Beijing China

会议类型: 国际会议

会议名称: 2011 3rd International Conference on Computer and Network Technology(ICCNT 2011)(2011第三届IEEE计算机与网络技术国际会议)

会议地点: 太原

会议语种:英文

页码: 305-309

在线出版日期: 2011-02-26（万方平台首次上网日期，不代表论文的发表时间）