An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation

• 作者: Iyakino P. Akpan Johnson O. Fatokun
• 来源期刊: 美国计算数学期刊(英文)
• 学科: 数学
• 关键词: BLACK Scholes EQUATION Partial Differential Equations (PDEs) Method of Lines (MOL) L-Stable Trapezoidal-Like INTEGRATOR
• 年，卷（期）: 2015,（3）
• 页码范围: 283-290
• 页数: 8页
• 分类号: O1

摘要

In this paper the Black Scholes differential equation is transformed into a parabolic heat equation by appropriate change in variables. The transformed equation is semi-discretized by the Method of Lines (MOL). The evolving system of ordinary differential equations (ODEs) is integrated numerically by an L-stable trapezoidal-like integrator. Results show accuracy of relative maximum error of order 10–10.