PENENTUAN HARGA OPSI DENGAN MODEL BLACK-SCHOLES MENGGUNALKAN METODE BEDA HINGGA FORWARD TIME CENTRAL SPACE

2018 ◽  
Vol 1 (1) ◽  
pp. 45
Author(s):  
Werry Febrianti
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Difference Method ◽  
Option Price ◽  
Call Option ◽  
Put Option ◽  
Daily Data ◽  
Black Scholes ◽  
One Year ◽  
The Right

Option can be defined as a contract between two sides/parties said party one and party two. Party one has the right to buy or sell of stock to party two. Party two can invest by observe the put option price or call option price on a time period in the option contract. Black-Scholes option solution using finite difference method based on forward time central space (FTCS) can be used as the reference for party two in the investment determining. Option price determining by using Black-Scholes was applied on Samsung stock (SSNLF) by using finite difference method FTCS. Daily data of Samsung stock in one year was processed to obtain the volatility of the stock. Then, the call option and put option are calculated by using FTCS method after discretization on the Black-Scholes model. The value of call option was obtained as $1.457695030014260 and the put option value was obtained as $1.476925604670225.

scholarly journals A Comparative Study between Implicit and Crank-Nicolson Finite Difference Method for Option Pricing

2020 ◽  
Vol 40 (1) ◽  
pp. 13-27
Author(s):  
Tanmoy Kumar Debnath ◽  
ABM Shahadat Hossain
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Option Pricing ◽  
Difference Method ◽  
Finite Difference Methods ◽  
Put Option ◽  
Black Scholes ◽  
Implicit Finite Difference ◽  
Difference Methods ◽  
Crank Nicolson

In this paper, we have applied the finite difference methods (FDMs) for the valuation of European put option (EPO). We have mainly focused the application of Implicit finite difference method (IFDM) and Crank-Nicolson finite difference method (CNFDM) for option pricing. Both these techniques are used to discretized Black-Scholes (BS) partial differential equation (PDE). We have also compared the convergence of the IFDM and CNFDM to the analytic BS price of the option. This turns out a conclusion that both these techniques are fairly fruitful and excellent for option pricing. GANIT J. Bangladesh Math. Soc.Vol. 40 (2020) 13-27

scholarly journals Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method

2013 ◽  
Vol 2013 ◽  
pp. 1-10 ◽  
Author(s):  
Lina Song ◽  
Weiguo Wang
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Fractional Derivative ◽  
Option Pricing ◽  
Difference Method ◽  
Put Options ◽  
Put Option ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Liouville Fractional Derivative

This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative. With the aid of symbolic calculation software, European and American put option pricing models that combine the time-fractional Black-Scholes equation with the conditions satisfied by the standard put options are numerically solved using the implicit scheme of the finite difference method.

Numerical Simulation of Black-Scholes Model by Finite Difference Method

2014 ◽  
Vol 513-517 ◽  
pp. 4090-4093
Author(s):  
Le Le Dong ◽  
Lian Xue ◽  
Lei Wei Lin ◽  
Tuo Chen ◽  
Ming Hui Wu
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Difference Method ◽  
Empirical Studies ◽  
Financial Derivatives ◽  
Image Simulation ◽  
Pricing Model ◽  
Put Option ◽  
Black Scholes Model ◽  
Black Scholes

Option is the typical representative of financial derivatives, and this paper is focused on the valuation problem of Option. Based on the Black-Scholes Pricing model which had far-reaching influence on the pricing of financial derivatives, researched its theoretical basis and derivation process, and then get the numerical solution via finite difference method and image simulation. And it also includes the part of empirical studies. In research, ZTR and HQ is chosen and analyzed, in order to get the pricing of European put option.

Sign in / Sign up

Export Citation Format

Share Document