Modeling European Options
Computational Engineering, Finance, and Science
2014-02-12 v1
Abstract
Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized simultaneously. In this paper, the authors have solved the Black-Scholes equation by employing a reasonably accurate implicit method. Options with known analytic solutions have been evaluated. Furthermore, an overall second order accurate space and time discretization has been accomplished in this paper.
Cite
@article{arxiv.1402.2551,
title = {Modeling European Options},
author = {Aishwarya B U and Mohammed Saaqib A and Rajashree H R and Vigasini B},
journal= {arXiv preprint arXiv:1402.2551},
year = {2014}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1311.0438 by other authors