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首页> 外文会议>Electrical amp; Electronics Engineering (EEESYM), 2012 IEEE Symposium on >Semi-implicit difference algorithm for solving the Black-Scholes equation with payment of dividend
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Semi-implicit difference algorithm for solving the Black-Scholes equation with payment of dividend

机译：带股息的Black-Scholes方程的半隐式差分算法

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摘要

Black-Scholes equation is the basic equation of option pricing in financial mathematics, it is important to study it's numerical solution in financial market. This paper constructs a new kind of semi-implicit difference scheme (asymmetric difference scheme) for solving Black-Scholes equation with payment of dividend. Secondly, it gives the convergence of scheme. Thirdly, the stability and error estimates are analyzed. Finally, the numerical examples show the feasibility and effectiveness of the scheme; the computational cost of asymmetric scheme is approximately 95% less than Crank-Nicolson scheme. The scheme is better suitable for applying to calculate the option pricing in the demanding high level of instantaneity.
机译：Black-Scholes方程是金融数学中期权定价的基本方程，研究其在金融市场中的数值解很重要。本文构造了一种新的半隐式差分格式（不对称差分格式），用于求解带股息的Black-Scholes方程。其次，给出了方案的收敛性。第三，分析了稳定性和误差估计。最后通过算例说明了该方案的可行性和有效性。非对称方案的计算成本比Crank-Nicolson方案低约95％。该方案更适合在要求高瞬时性的情况下用于计算期权定价。

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