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Author(s): Amadi I.U., Anyamele B.A., Mandah O.A..

Volume/Issue: Volume 3 , Issue 3 (2020)

Abstract:

This paper presents Black-Scholes (BS) partial differential equation (PDE) and Crank-Nicolson (CN) numerical solutions for the valuation of European call option. In particular Crank-Nicolson finite difference scheme was effectively applied to the transformed boundary value problems of European call option with results obtained. It was observed that Black-Scholes and Crank-Nicolson are indistinguishable and errors were most pronounced when sigma were in the range However, this paper presented here has a vital implications to the option traders and in this dynamic area of financial Mathematics.

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