摘要
根据欧式看涨期权的基本假设和资产复制策略推导了BlackScholes方程,通过变量代换和离散化技术得到显式差分格式和隐式差分格式,并分别对其迭代稳定性进行了分析.
In this paper, Black - Scholes Equation is derived based on hypothesis for European call and asset replication strategies. Explicit and implicit difference schemes whose stability is carefully analyzed, are obtained by variable substitutions and discrete technology.
出处
《哈尔滨师范大学自然科学学报》
CAS
2013年第3期21-25,共5页
Natural Science Journal of Harbin Normal University
关键词
金融计算
有限差分法
稳定性分析
Financial computation
Finite difference scheme
Stability analysis
