A Fast Numerical Scheme for Black-Scholes Option Pricing Model
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The exact solution of the Black-Scholes equation involves stochastic term, which made it time-consuming to calculate. Therefore, I try to find a way to solve the Black-Scholes equation numerically to avoid evaluating the stochastic term. In this paper, I use forward difference, backward difference, and Crank-Nicolson method to discretize the equation and Jacobi method, Gauss-Seidel method and Succesive Over Relaxation (SOR) Method are used to speed up the matrix operation process.
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Faculty adviser: Bilyk Dmytro
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This research was supported by the Undergraduate Research Opportunities Program (UROP).
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Jiang, Rundong. (2015). A Fast Numerical Scheme for Black-Scholes Option Pricing Model. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/169705.
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