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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Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Andalas
2024-07-01
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| Series: | Jurnal Matematika UNAND |
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| Online Access: | https://jmua.fmipa.unand.ac.id/index.php/jmua/article/view/1207 |
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| author | Lutfi Mardianto Gusrian Putra Benediktus Ivan Pratama Endah R. M. Putri |
| author_facet | Lutfi Mardianto Gusrian Putra Benediktus Ivan Pratama Endah R. M. Putri |
| author_sort | Lutfi Mardianto |
| collection | DOAJ |
| description | 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 parameters such as stock price volatility, risk-free interest rate and strike price. The numerical stability of the method is checked using Von Neumann stability before the simulation is conducted. The influence of interest rates, volatility, and strike price on the option price state that the higher the value of the interest rate parameter, the lower the option price value, while the greater the value of stock price volatility and strike price, the higher the option price. |
| format | Article |
| id | doaj-art-8994136a0b9e4c8bbb2998eb9159db45 |
| institution | DOAJ |
| issn | 2303-291X 2721-9410 |
| language | English |
| publishDate | 2024-07-01 |
| publisher | Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Andalas |
| record_format | Article |
| series | Jurnal Matematika UNAND |
| spelling | doaj-art-8994136a0b9e4c8bbb2998eb9159db452025-08-20T02:49:47ZengDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas AndalasJurnal Matematika UNAND2303-291X2721-94102024-07-0113318819710.25077/jmua.13.3.188-197.2024748Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box MethodLutfi Mardianto0Gusrian Putra1Benediktus Ivan Pratama2Endah R. M. Putri3Institut Teknologi SumateraInstitut Teknologi SumateraInstitut Teknologi SumateraInstitut Teknologi Sepuluh NopemberIn 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 parameters such as stock price volatility, risk-free interest rate and strike price. The numerical stability of the method is checked using Von Neumann stability before the simulation is conducted. The influence of interest rates, volatility, and strike price on the option price state that the higher the value of the interest rate parameter, the lower the option price value, while the greater the value of stock price volatility and strike price, the higher the option price.https://jmua.fmipa.unand.ac.id/index.php/jmua/article/view/1207black-scholes modeleuropean put optionkeller-box methodoption pricingvon neumann stability |
| spellingShingle | Lutfi Mardianto Gusrian Putra Benediktus Ivan Pratama Endah R. M. Putri Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method Jurnal Matematika UNAND black-scholes model european put option keller-box method option pricing von neumann stability |
| title | Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method |
| title_full | Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method |
| title_fullStr | Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method |
| title_full_unstemmed | Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method |
| title_short | Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method |
| title_sort | numerical solution of european put option for black scholes model using keller box method |
| topic | black-scholes model european put option keller-box method option pricing von neumann stability |
| url | https://jmua.fmipa.unand.ac.id/index.php/jmua/article/view/1207 |
| work_keys_str_mv | AT lutfimardianto numericalsolutionofeuropeanputoptionforblackscholesmodelusingkellerboxmethod AT gusrianputra numericalsolutionofeuropeanputoptionforblackscholesmodelusingkellerboxmethod AT benediktusivanpratama numericalsolutionofeuropeanputoptionforblackscholesmodelusingkellerboxmethod AT endahrmputri numericalsolutionofeuropeanputoptionforblackscholesmodelusingkellerboxmethod |