A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option
Presenter(s)
Lijun Lin
Files
Description
In this work, we present some numerical solutions to the famous Black-Scholes equation. Although a closed form solution for the price of European options is available, the prices of more complicated derivatives such as American options may require a numerical solution of the Black-Scholes equation. This poster will focus primarily on the solution to the equation for the European call option.
Publication Date
4-24-2019
Project Designation
Graduate Research
Primary Advisor
Muhammad Usman
Primary Advisor's Department
Mathematics
Keywords
Stander Symposium project
Recommended Citation
"A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option" (2019). Stander Symposium Projects. 1510.
https://ecommons.udayton.edu/stander_posters/1510
