A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option
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.
Primary Advisor's Department
Stander Symposium poster
"A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option" (2019). Stander Symposium Posters. 1510.