Examination of Impact from Different Boundary Conditions on the 2D Black-Scholes Model : Evaluating Pricing of European Call Options
This paper examines different combinations of close-field and far-field boundary conditions for solving the 2D Black-Scholes model using finite difference methods in space. The combinations were also tested for different parameter settings. The research showed that in the area close to the strike pr...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Avdelningen för beräkningsvetenskap
2014
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-230866 |