Numerical approximation of Black Scholes stochastic differential equation using Euler-Maruyama and Milstein methods

نویسندگان

چکیده

This paper will introduce the Ito’s lemma used in stochastic calculus to obtain Ito-Taylor expansion of a differential equations. The Euler-Maruyama and Milstein’s methods solving equations be discussed derived. We apply these two numerical Black-Scholes model values European call option stock at discretized time intervals. use computer simulation approximate while using formula exact solution. approximations solution infer on effectiveness methods.

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ژورنال

عنوان ژورنال: Journal of Fundamental and Applied Sciences

سال: 2021

ISSN: ['1112-9867']

DOI: https://doi.org/10.4314/jfas.v13i1.13