Recent content by tomatoyeungHK

In fact, my prof. he asked me to do the heat equation form, but I am afraid of the no one would understand what I am saying, that's why I provide the some basic ideas on the previous post. This is the equation form I am using actually: ##\frac{\partial v}{\partial \tau} =...

##C(S,t) = C(S(t), E, T-t, r) = SN(d_{1}) - Ee^{-r(T-t)}N(d_{2}),## where, ##N(d) = \frac{1}{\sqrt{2\pi}}\int^{d}_{-\infty}e^{{-\frac{1}{2}}s^{2}}ds,## is the cumulative distribution function for the standard normal distribution, ##d_{1} = \frac{\ln\frac{S}{E} + (r +...

First of all, thanks for your reply. I am so sorry for that I should state the problem much clear. Here are some illustrations. 1st. The Black-Scholes equation is a PDE in calculating the options in stock markets. This is the original form of BS equation: ## \frac{\partial V}{\partial t}+...

Dear all: I am studying the finite difference method for black scholes equation(heat equation form), and my Prof. asked me to use the Crank Nicolson and Compact Scheme to do it. But I cannot reach second order for the space, i.e., x . The error only reach 1st order and sometimes not stable, it...