Convergence analysis of semi-implicit EM method for Black-Scholes option  pricing model

Yu-xi Yang; Qian-mu Cheng; Ling Zhang; De-lin Wu

doi:10.1117/12.2648689

27 September 2022 Convergence analysis of semi-implicit EM method for Black-Scholes option pricing model

Yu-xi Yang, Qian-mu Cheng, Ling Zhang, De-lin Wu

Proceedings Volume 12345, International Conference on Applied Statistics, Computational Mathematics, and Software Engineering (ASCMSE 2022); 123451J (2022) https://doi.org/10.1117/12.2648689
Event: 2022 International Conference on Applied Statistics, Computational Mathematics, and Software Engineering (ASCMSE 2022), 2022, Qingdao, China

Abstract

Numerical solution of the Black-Scholes (referred to as the BS) equation is obtained by using semi-implicit EM method, and convergence of numerical solution is analyzed. The effectiveness of the method is verified by a specific example. The theoretical results are verified by numerical simulation.

Citation Download Citation

Yu-xi Yang, Qian-mu Cheng, Ling Zhang, and De-lin Wu "Convergence analysis of semi-implicit EM method for Black-Scholes option pricing model", Proc. SPIE 12345, International Conference on Applied Statistics, Computational Mathematics, and Software Engineering (ASCMSE 2022), 123451J (27 September 2022); https://doi.org/10.1117/12.2648689

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