An improvement of option pricing using the Finite difference method

被引：0
|
作者：
Svabova, Lucia [1 ]
Durica, Marek [1 ]
机构：
[1] Zilinska Univ Ziline, Fak Prevadzky Ekonomiky Dopravy Spojov, Katedra Kvantitativnych Metod Hodpodarskej Inform, Zilin, Czech Republic
来源：
MANAGING AND MODELLING OF FINANCIAL RISKS: 7TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2014年
关键词：
Finite difference method; Option pricing; Black-Scholes model; financial derivatives;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper deals with the improvement of pricing of the European options using the Finite difference method, which is the numerical method for estimating the price of the financial derivatives based on the known Black - Scholes model. In the paper we present the improvement of setting the values in the endpoints of the grid using in the Finite difference method, using which we get the estimates closer to the real prices of the options.
引用
收藏
页码：799 / 806
页数：8
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