NUMERICAL VALUATION OF THE BLACK–SCHOLES EQUATION VIA THE CRANK NICOLSON FINITE DIFFERENCE SCHEME
DOI:
https://doi.org/10.71146/kjmr851Keywords:
BSM (Black-Scholes model), Crank Nicolson FDM, Option pricing, PDE, Numerical methods, Financial MathematicsAbstract
In this research, we investigate a popular Black-Scholes model in terms of a full financial sector system, where choices are valued and assessed. The Crank–Nicolson finite difference technique (FDT) is used to offer a numerical solution for the coupled partial differential equation (PDE). The accuracy and stability features of the suggested method, as well as its ease of use, are the basis for its growth. The usefulness of the approach for the given situation is assessed by numerical experiments, and the validity of the Crank–Nicolson technique in estimating option pricing is confirmed by analyzing the calculated results. The results show that the suggested approach is useful, computationally effective, and appropriate for resolving financial PDEs, particularly when simplicity and convenience of use are crucial.
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References
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Copyright (c) 2026 Sanaullah Shaikh, Israr Ahmed, Raheem Bux Shaikh (Author)
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