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European Options

In: THE TIME-DISCRETE METHOD OF LINES FOR OPTIONS AND BONDS A PDE Approach

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  • Gunter H. Meyer

Abstract

European option prices governed by the Black Scholes equation can often be found analytically from a so-called Black Scholes formula. Such closed form solutions are useful to analyze and calibrate numerical methods so that they can be employed with confidence for related problems where no exact solutions are known. Here we shall compare the MOL solution with the analytic solution for some typical European options…

Suggested Citation

  • Gunter H. Meyer, 2015. "European Options," World Scientific Book Chapters, in: THE TIME-DISCRETE METHOD OF LINES FOR OPTIONS AND BONDS A PDE Approach, chapter 4, pages 93-115, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814619684_0004
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