Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method

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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Bibliographic Details
Main Authors: Lutfi Mardianto, Gusrian Putra, Benediktus Ivan Pratama, Endah R. M. Putri
Format: Article
Language:English
Published: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Andalas 2024-07-01
Series:Jurnal Matematika UNAND
Subjects:
black-scholes model
european put option
keller-box method
option pricing
von neumann stability
Online Access:https://jmua.fmipa.unand.ac.id/index.php/jmua/article/view/1207
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