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Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya

Linear Black Scholes model is a partial differential equation in financial mathematics. This report is discussed about a solution method for the Black Scholes model with too European op­tions call as boundary problem numerically. For numerical approximation, a weighted average method was used to sol...

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Main Authors: Md Isa, Nur Alleysa, Leman, Fatin Shakirah, Yahya, Nurhidayah
Format: Student Project
Language:English
Published: 2017
Subjects:
Study and teaching
Equations
Analysis
Online Access:https://ir.uitm.edu.my/id/eprint/109966/1/109966.pdf
https://ir.uitm.edu.my/id/eprint/109966/
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spelling my.uitm.ir.1099662025-02-11T00:54:06Z https://ir.uitm.edu.my/id/eprint/109966/ Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya Md Isa, Nur Alleysa Leman, Fatin Shakirah Yahya, Nurhidayah Study and teaching Equations Analysis Linear Black Scholes model is a partial differential equation in financial mathematics. This report is discussed about a solution method for the Black Scholes model with too European op­tions call as boundary problem numerically. For numerical approximation, a weighted average method was used to solve the model by using different weights. Firstly, the approximation so­lution was obtained by using a Finite Different Method then followed by a weighted average technique. After that, the numerical results for the European Call options was presented. The results for the Finite Different method showing that if there is increasing in time, the value of the options, V (S, t) also increases but value of the options have the different results when using a weighted average method. Finally, the research continue by doing some changes in parameter of Black Scholes to determine the value of the options 2017 Student Project NonPeerReviewed text en https://ir.uitm.edu.my/id/eprint/109966/1/109966.pdf Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya. (2017) [Student Project] <http://terminalib.uitm.edu.my/109966.pdf> (Unpublished)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Study and teaching
Equations
Analysis
spellingShingle Study and teaching
Equations
Analysis
Md Isa, Nur Alleysa
Leman, Fatin Shakirah
Yahya, Nurhidayah
Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya
description Linear Black Scholes model is a partial differential equation in financial mathematics. This report is discussed about a solution method for the Black Scholes model with too European op­tions call as boundary problem numerically. For numerical approximation, a weighted average method was used to solve the model by using different weights. Firstly, the approximation so­lution was obtained by using a Finite Different Method then followed by a weighted average technique. After that, the numerical results for the European Call options was presented. The results for the Finite Different method showing that if there is increasing in time, the value of the options, V (S, t) also increases but value of the options have the different results when using a weighted average method. Finally, the research continue by doing some changes in parameter of Black Scholes to determine the value of the options
format Student Project
author Md Isa, Nur Alleysa
Leman, Fatin Shakirah
Yahya, Nurhidayah
author_facet Md Isa, Nur Alleysa
Leman, Fatin Shakirah
Yahya, Nurhidayah
author_sort Md Isa, Nur Alleysa
title Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya
title_short Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya
title_full Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya
title_fullStr Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya
title_full_unstemmed Technical report: the approximation solution of linear Black-Scholes equation by numerical method / Nur Alleysa Md Isa, Fatin Shakirah Leman and Nurhidayah Yahya
title_sort technical report: the approximation solution of linear black-scholes equation by numerical method / nur alleysa md isa, fatin shakirah leman and nurhidayah yahya
publishDate 2017
url https://ir.uitm.edu.my/id/eprint/109966/1/109966.pdf
https://ir.uitm.edu.my/id/eprint/109966/
_version_ 1825165138646269952
score 13.239859

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