Title :
Explicit Finite Difference Methods and its Stability on Black-Scholes Model
Author :
Huapu, Lu ; Xinxin, Yu ; Yue, Li ; Xiaoqiang, Zhao ; Shuai, Dai
Author_Institution :
Inst. of Transp. Eng., Tsinghua Univ., Beijing, China
Abstract :
This paper shows finite difference method for solving the Black-Scholes problems. The proposed FDM aims to make the process efficiently. Then the stability of the FDM was proposed. Finally, a numerical example is given to illustrate the ability of the proposed method to Black-Scholes problems.
Keywords :
finite difference methods; partial differential equations; stability; Black-Scholes Model; FDM; finite difference methods; stability; Automation; Finite difference methods; Instruments; Investments; Paper technology; Partial differential equations; Portfolios; Stability; Stochastic processes; Transportation; Black-Scholes formula; Fourier stability; finite difference method; option;
Conference_Titel :
Intelligent Computation Technology and Automation (ICICTA), 2010 International Conference on
Conference_Location :
Changsha
Print_ISBN :
978-1-4244-7279-6
Electronic_ISBN :
978-1-4244-7280-2
DOI :
10.1109/ICICTA.2010.601
