DocumentCode
524022
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
Volume
2
fYear
2010
fDate
11-12 May 2010
Firstpage
277
Lastpage
280
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICICTA.2010.601
Filename
5523590
Link To Document