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Question: Black Scholes equation

Question:Black Scholes equation

yasser 10 Maple
March 25 2010
0

hello

please i want to solve these equations

Black Scholes equation

Smax:=150:
> S:=50:
> X:=50:
> T:=1:
> M:=4:
> N:=2:
> k:=T/N:
> h:=Smax/M:
> SIG:=0.3:
> r:=0.1:

 

for j from 0 to N do
> for i from M by -1 to 1 do
> if X<(i*h) then
> u[i,N+1]:=max((i*h)-X,0):
> else
> u[i,N+1]:=0:
> fi:
> u[M+1,j+1]:=S:
> u[0,j+1]:=0:
> a[i,j+1]:=-0.5*r*k*i+0.5*(SIG)^2*k*i^2:
> b[i,j+1]:=1-(SIG)^2*i*k:
> c[i,j+1]:=(0.5*r*k*i+.5*(SIG)^2*k*i^2):
> u[i,j]:=a[i,j+1]*u[i-1,j+1]+b[i,j+1]*u[i,j+1]+c[i,j+1]*u[i+1,j+1]:
> od;
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