Numerical Simulation of Black-Scholes Model by Finite Difference Method

Le Le Dong; Lian Xue; Lei Wei Lin; Tuo Chen; Ming Hui Wu

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

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 513-517Numerical Simulation of Black-Scholes Model by...

Numerical Simulation of Black-Scholes Model by Finite Difference Method

Abstract:

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.

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Periodical:

Applied Mechanics and Materials (Volumes 513-517)

Pages:

4090-4093

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.513-517.4090

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Online since:

February 2014

Authors:

Le Le Dong, Lian Xue*, Lei Wei Lin, Tuo Chen, Ming Hui Wu

Keywords:

Black-Scholes Equation, Numerical Solution, Option

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* - Corresponding Author

References

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