블랙-숄즈 모델을 이용한 수치적 옵션 가격결정

Abstract

There are various techniques for the numerical solution of mathematical model of derivative securities. Mostly numerical methods to be used for option pricing are Lattice method, Monte-Carlo simulation and finite difference method. We apply finite element method for solving Black-Scholes model.

We apply finite element method to the approximation of the American option value. American put has a free boundary on which the optimal exercise take place.

Derivative securities with more complicated payoffs than European options tend to be increasing. For example, There are barrier option, Asian option etc. These are called Exotic options. Finite element methods is proposed in various Exotic options.