Non Uniform Finite Difference Methods for Valuing European and American Put Option Using Black Schools Model
| المصدر: | مجلة القراءة والمعرفة |
|---|---|
| الناشر: | جامعة عين شمس - كلية التربية - الجمعية المصرية للقراءة والمعرفة |
| المؤلف الرئيسي: | Sweilam, N. H. (Author) |
| مؤلفين آخرين: | Abou Hasan, M. M. (Co-Author) |
| المجلد/العدد: | ع176 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2016
|
| الشهر: | June |
| الصفحات: | 1 - 12 |
| رقم MD: | 760864 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EduSearch |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Options | Black-Scholes Partial Differential Equation | Non-Uniform Grid | Full Discretization | Finite Difference Method | Von Neumann Stability Analysis
|
| رابط المحتوى: |
عدد مرات التحميل
9
| المستخلص: |
In this article, a numerical study for the Black-Scholes partial differential equa¬tion is introduced by using a non-uniform finite difference method to find values of European and American Put options especially at the moment of writing this, op¬tion. In this case, non-uniform grids can be used to solve Black-Scholes equation with better accuracy than uniform grids, because we can focus the discretization around the strike price. The stability analysis of the proposed method is given by the standard Von Neumann stability analysis. Truncation error is calculated depending on Taylor-series. Numerical test examples and comparisons have been presented for clarity. |
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