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International Journal of Computer Mathematics Volume 81, 2004 - Issue 8
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Numerical volatility in option valuation from Black–Scholes equation by finite differences

M. M. Chawla Department of Mathematics and Computer Science, Kuwait University, P. O. Box 5969, Safat, 13060, KuwaitCorrespondence[email protected]
&
D. J. Evans Faculty of Engineering and Computing, Nottingham Trent University, Burton Street, Nottingham, NG1 4BU, UK
Pages 1039-1041 | Received 18 Apr 2004, Published online: 25 Jan 2007
 
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Abstract

For valuation of options from the Black–Scholes equation, finite differences can induce numerical volatility.

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