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A Study on a New Kind of Universal Difference Schemes for Solving Black-Scholes Equation

Journal article published in 2007 by Xiao-Zhong Yang, Yang-Guo Liu, Guang-Hui Wang
This paper was not found in any repository; the policy of its publisher is unknown or unclear.
This paper was not found in any repository; the policy of its publisher is unknown or unclear.

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Abstract

Black-Scholes equation is an important model in option pricing the- ory of flnancial mathematics, and it is very signiflcant in practical applications to study its numerical results. In this paper, we construct a new fully discrete universal difierence scheme of an equivalent initial value problem transformed from Black-Scholes equation via variable-substitutions, and then the schemes of stability proof, the error estimate and the convergence are presented. Fi- nally, the numerical examples of European call options show the e-ciencies and utilities.