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. According to this method, we approximate the unknown function of the option value using a...
广义Black-Scholes方程数值方法分析 丁会敏 【摘要】Black- Scholes equation is one of the most effective equation describing option pricing, and the solving problem is always the focus of people's attention.Since the 1970s, emerged a large number of methods for solving the differential equation of ...
Then, the linear Black–Scholes equation (1) can be transformed into the heat equation and analytically solved to price the option [1]. One can argue that these restrictive assumptions never occur in reality. Due to transaction costs (see [6], [7], [8]), large investor preferences (see...
We study properties of solutions to fully nonlinear versions of the standard Black-Scholes partial differential equation. These equations have been introdu... R Frey,U Polte - 《Siam Journal on Control & Optimization》 被引量: 0发表: 2011年 NONLINEAR BLACK-SCHOLES EQUATIONS IN FINANCE: ASSOCIATED...
2. From these results we observe that the numerical method is very stable. It was well-known the classical Black–Scholes equation has a closed form solution expressed by normal distribution functions [2]. To interpret the influence of α and γ on the European call option price, when γ=0...
In creating this mini-app, I learned how to apply discretization schemes to second-order linear partial differential equations and how various dynamics of the Black-Scholes-Merton equation affect the payoff functions. I have also become much more familiar with novel finite differencing techniques for...
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 ...
In such situation, the idea of Wang and Perdikaris20 was 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 concise ...
Black-Scholes equationis 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。
time-fractional Black–Scholes equation; non-uniform meshes; compact difference scheme; stability; error estimate 1. Introduction In this paper, we are interested in the effective numerical schemes for the following time-fractional Black–Scholes (B-S) equation governing European options [1]: ∂ ...