European Options

Gunter H. Meyer

Chapter 4 in The Time-Discrete Method of Lines for Options and Bonds:A PDE Approach, 2015, pp 93-115 from World Scientific Publishing Co. Pte. Ltd.

Abstract: European option prices governed by the Black Scholes equation can often be found analytically from a so-called Black Scholes formula. Such closed form solutions are useful to analyze and calibrate numerical methods so that they can be employed with confidence for related problems where no exact solutions are known. Here we shall compare the MOL solution with the analytic solution for some typical European options…

Keywords: Options; Bonds; PDE Formulation; Numerical Solution; Method of Lines; Stochastic Volatility; Jump Diffusion; Uncertain Parameters (search for similar items in EconPapers)
Date: 2015
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