选择价格与模型黑斯科尔斯使用不同的方法，直到前时代中心空间

Journal of Fundamental Mathematics and Applications (JFMA) Pub Date : 2018-06-30 DOI:10.14710/jfma.v1i1.6

Werry Febrianti

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引用次数: 1

摘要

期权可以被定义为一方和另一方之间的合同。甲方有权向乙方购买或出售股票。乙方可以按照期权合同约定的期限内的看跌期权价格或看涨期权价格进行投资。基于前向时间中心空间(FTCS)的有限差分法的Black-Scholes期权解可以作为双方投资决策的参考。利用有限差分法对三星股票(SSNLF)进行Black-Scholes期权价格确定。对三星股票一年内的每日数据进行处理，得到该股票的波动率。然后，在Black-Scholes模型上离散化后，采用FTCS方法计算看涨期权和看跌期权。看涨期权的价值为1.457695030014260美元，看跌期权的价值为1.476925604670225美元。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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PENENTUAN HARGA OPSI DENGAN MODEL BLACK-SCHOLES MENGGUNALKAN METODE BEDA HINGGA FORWARD TIME CENTRAL SPACE

Option can be defined as a contract between two sides/parties said party one and party two. Party one has the right to buy or sell of stock to party two. Party two can invest by observe the put option price or call option price on a time period in the option contract. Black-Scholes option solution using finite difference method based on forward time central space (FTCS) can be used as the reference for party two in the investment determining. Option price determining by using Black-Scholes was applied on Samsung stock (SSNLF) by using finite difference method FTCS. Daily data of Samsung stock in one year was processed to obtain the volatility of the stock. Then, the call option and put option are calculated by using FTCS method after discretization on the Black-Scholes model. The value of call option was obtained as $1.457695030014260 and the put option value was obtained as $1.476925604670225.

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Journal of Fundamental Mathematics and Applications (JFMA)

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