A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option

Title

A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option

Authors

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 poster

Comments

Presenter: Lijun Lin

A Comparison of Numerical Solutions of the Black-Scholes Heat Equation for European Call Option

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