This paper deals with a comparative numerical analysis of the Black–Scholes equation for the value of a European call option. Artificial neural networks are used for the numerical solution to this problem. Acc
modeling option pricing with transaction costs, semidiscretization technique provides a competitive numerical solution with respect to others recently given in [B.Düring, M.Fournier, A.Jüngel, Convergence of a high order compact finite difference scheme for a nonlinear Black–Scholes equation, Esaim–...
The research on the numerical solution of the two-dimensional Black-Scholes equation (the quanto options pricing model) has important theoretical significance and practical value. We propose a class of parallel difference methods for the quanto options pricing model. On the basis of explicit-implicit...
We provide in Section 5 numerical experiments on the orders of convergence and other aspects of the model. We end the paper with a few concluding remarks. 2. The time-space fractional Black–Scholes equation We solve U(x,τ) from the following time-space fractional Black–Scholes equation [...
(6). In such situation, the idea of Wang and Perdikaris20was extended directly to solve the free boundary problem of integer-order Black-Scholes equation. In the subsequent market application, comparative analysis will be conducted on the two pricing results. From the comparison results, the ...
3.Black-Scholes equation is an important model in option pricing theory of financial mathematics, and it is very significant in practical applications to study its numerical results.Black-Scholes方程是金融数学中期权定价理论的重要模型,研究其数值解法有重要的现实意义。 英文短句/例句 1.Solving Nonlinear ...
西安工程大学理学院,西安 710048) 摘要:在标的股票支付红利的条件下,分别讨论 Black Scholes模型与 GARCH模型中隐含波动率的性质.在两个 模型中使用了泰勒逼近,得到隐含波动率满足的二次方程,并讨论系数对隐含波动率的影响.然后,通过数值算例 研究不同参数对应的隐含波动率的性态,同时分析了隐含波动率随着参数的变化...
1) Black-Scholes equation Black-Scholes方程 1. Analysis of a difference method for solvingBlack-Scholes equation; 一种求解Black-Scholes方程差分格式的分析 2. By using a new method theBlack-Scholes equationcan be attained. 采用一种新的思路和方法导出了Black-Scholes方程。
Black-Scholes方程 1. Analysis of a difference method for solving Black-Scholes equation; 一种求解Black-Scholes方程差分格式的分析 2. By using a new method the Black-Scholes equation can be attained. 采用一种新的思路和方法导出了Black-Scholes方程。 3. Black-Scholes equation is an important mod...
Black-Scholes方程 1. Analysis of a difference method for solvingBlack-Scholes equation; 一种求解Black-Scholes方程差分格式的分析 2. By using a new method theBlack-Scholes equationcan be attained. 采用一种新的思路和方法导出了Black-Scholes方程。