Journal of Jilin University Science Edition

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Numerical Approximation of Butterfly OptionPrice with Uncertain Volatility Model

LIU Chunyang, HAN Yuecai,  LV Xianrui   

  1. Colleg of Mathematics, Jilin University, Changchun 130012, China
  • Received:2016-04-14 Online:2016-09-26 Published:2016-09-19
  • Contact: LV Xianrui E-mail:lvxr@jlu.edu.cn

Abstract:

We gave an iterative scheme for the numerical solution of butterfly option price by the implicit difference method, and proved the stability of numerical approximate iterative scheme.

Key words: butterfly option, uncertain volatility, nonlinear Black-Scholes-Barenblatt PDE

CLC Number: 

  • O211