文章基本信息

标题：Numerical Solution of Black-Scholes Equation using Variational Iteration Method
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作者：Pradeep Kashyap ; Ajay Kumar Sharma
期刊名称：International Journal of Innovative Research in Science, Engineering and Technology
印刷版ISSN：2347-6710
电子版ISSN：2319-8753
出版年度：2020
卷号：9
期号：1
页码：13012-13019
DOI：10.15680/IJIRSET.2020.0901025
出版社：S&S Publications
摘要：This paper deals with the numerical solution of Black-Scholes equation, which is solved by variational iteration method (VIM). One of the important applications of Black-Scholes equation is that it is widely used for option pricing. VIM is a very powerful, efficient and effective mathematical tool which provides approximate solutions for a wide range of real-world problems arising in engineering and natural sciences, modeled in terms of differential equations. Convergence analysis and numerical examples are presented to show the efficacy of the proposed numerical method.
关键词：Variational iteration method; Non;linear phenomenon; Partial differential equation; Black;Scholes equation