Numerical solution of the Black-Scholes PDE

:: Why a numerical solution ::

:: Transformation of the Black-Scholes equation ::

:: Discretization ::

:: Implicit scheme for a call option ::

:: SOR method ::



Financial derivatives - exercises, 2014
Beáta Stehlíková, FMFI UK Bratislava


E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://www.iam.fmph.uniba.sk/institute/stehlikova/