Author(s)

Xiaolu Liu, Ningxin Xie, Ziyuan Peng

Corresponding Author

Xiaolu Liu

ABSTRACT

With the rapid development of global financial markets, options are getting more and more attention from many people. It is necessary to conduct more in-depth research on options.Based on the Black-Scholes model, this paper studies the pricing and calculation of European options, and obtains the Black-Scholes formula by solving the Black-Scholes equation.The numerical calculation method is used to solve the European option pricing. The derivation process of the finite difference method is analyzed, including the inner limit difference method, the extrapolation finite difference method and the Crank-Nicolson difference method.Finally, the final option value is obtained to introduce the initial option value, and an instance analysis is performed to realize the combination of mathematical knowledge and computer language.

KEYWORDS

Option Pricing; Black-Scholes Model; Finite Difference Method; Case Analysis