该【非线性BlacK-Scholes方程的JFNK方法求解 】是由【niuwk】上传分享，文档一共【3】页，该文档可以免费在线阅读，需要了解更多关于【非线性BlacK-Scholes方程的JFNK方法求解 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。非线性BlacK-Scholes方程的JFNK方法求解Title:NonlinearBlack-ScholesEquation:AJFNKMethodforNumericalSolutionAbstract:TheBlack-Scholesequationisafundamentalandwidely-,uratelysolvethenonlinearBlack-Scholesequation,plexpay-offfunctionsortime-,wepresentaJacobian-FreeNewton-Krylov(JFNK)urateapproachforsolvingthenonlinearBlack-,----FreeNewton------:TheBlack-Scholesequation,firstintroducedin1973byFischerBlackandMyronScholes,(PDE)thatisderivedunderseveralassumptions,includingaconstantinterestrate,acontinuousandfrictionlessmarket,-Scholesequationprovidesarobustframeworkforoptionpricing,,weaimtoaddressthesechallengesbyproposingaJacobian-FreeNewton-Krylov(JFNK)urateapproachtosolvethenonlinearBlack-,binesNewton'smethodwithKrylovsubspacetechniques,:ToapplytheJFNKmethodtothenonlinearBlack-Scholesequation,wediscretizetheequationusingappropriatenumericalschemes,'uracyandefficiencyinsolvingthenonlinearBlack-,suchasthefinitedifferencemethodortheCrank--offfunctionsandtime-:,requiringfeweriterationstoobtainasolution,,plexpay-offfunctionsortime-varyingvolatility,-offfunctionsrevealsthattheJFNKmethodcanhandlevarioustypesofpay-offfunctions,,inthecaseoftime-varyingvolatility,theJFNKmethoddemonstratesrobustnessandstability,:urateapproachtosolvethenonlinearBlack-Scholesequation,,improvedstability,plexpay-offfunctionsandtime-,,exploringalternativediscretizationtechniques,orconsideringadditionalfactorsthataffectoptionpricing,.
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