Reševanje Black-Scholesove enačbe z metodo končnih diferenc : delo diplomskega seminarja

Curk, Matic (author), Kanduč, Tadej (mentor)

V diplomskem delu predstavimo eksplicitno, implicitno ter semi-implicitno metodo končnih diferenc za reševanje Black-Scholesove enačbe. Metode primerjamo med seboj po natančnosti in hitrosti. Za izračun implicitnih metod uporabimo direktne in iterativne metode. Med seboj primerjamo tudi Jacobijevo, Gauss-Seidelovo ter SOR iterativno metodo.

• Language: Slovenian
• Keywords: Black-Scholesova enačba, metoda končnih diferenc, evropske opcije
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2026
• PID: 20.500.12556/RUL-185893
• UDC: 519.6
• COBISS.SI-ID: 288605443
• Publication date in RUL: 22.08.2026

Secondary language

• Language: English
• Title: Solving the Black-Scholes equation using the finite difference method

Abstract

In this thesis, we present the explicit, implicit, and semi-implicit finite difference methods for solving the Black-Scholes equation. We compare the methods with each other in terms of accuracy and speed. For the computation of the implicit methods, we utilize both direct and iterative methods. Furthermore, we compare the Jacobi, Gauss-Seidel, and SOR (Successive Over-Relaxation) iterative methods against one another.

• Keywords: Black-Scholes equation, finite difference method, European options