臺灣博碩士論文加值系統

本文介紹顯式法、隱式法、Crank-Nicolson 數值法與外插法求解數值選擇權的價格問題、分析其穩定性、收斂性與精確度，並且比較所求得數值解的差異。

1 導論
2 選擇權之評價模式
2.1 Black-Scholes 模型
2.2 歐式選擇權
2.3 數值選擇權
2.4 人工化邊界條件
3 偏微分方程式的有限差分法
3.1 熱傳導方程式的離散與顯式法
3.2 Crank-Nicolson 數值法
3.3 隱式法與外插法
3.4 Black-Scholes 方程式的離散
3.4.1 對數轉換
4 數值結果與結論
4.1 數值實驗之假設
4.2 數值實驗ㄧ
4.3 數值實驗二
4.4 數值實驗三
4.5 結論

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