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

作　　者：Iyakino P. Akpan Johnson O. Fatokun 

机构地区：[1]Department of Basic Science, College of Agriculture, Lafia, Nigeria [2]Department of Mathematical Science and Information Technology, Federal University, Dutsin-Ma, Nigeria

出　　处：《American Journal of Computational Mathematics》2015年第3期283-290,共8页美国计算数学期刊（英文）

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.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.

关 键 词：BLACK Scholes EQUATION Partial Differential Equations (PDEs) Method of Lines (MOL) L-Stable Trapezoidal-Like INTEGRATOR 

分 类 号：O1[理学—数学]