Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method

In this study, we propose to determine option pricing by using Black-Scholes model numerically. The Keller box method, a numerical method with a box-shaped implicit scheme, is chosen to solve the problem of pricing stock options, especially European-put option. This option pricing involves several p...

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Bibliographic Details

Published in:	Jurnal Matematika UNAND
Main Authors:	Lutfi Mardianto, Gusrian Putra, Benediktus Ivan Pratama, Endah R. M. Putri
Format:	Article
Language:	English
Published:	Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Andalas 2024-07-01
Subjects:	black-scholes model european put option keller-box method option pricing von neumann stability
Online Access:	https://jmua.fmipa.unand.ac.id/index.php/jmua/article/view/1207