Solusi Analitik Dan Numerik Persamaan Linear Black-Scholes Dengan Transformas…

Linear Black-Scholes equation is one of the models to determine the European type call option and put option. This final project explains the determination of solution of linear Black-Scholes equation transformed into heat equation. The analytic solution is determined by Fourier transformation. Then the numerical solution is determined by backward finite difference methods. This two method…