A new kind of effective difference schemes for solving the payment of dividend Black-Scholes equation

摘要

Black-Scholes equation is an important model in option pricing theory of financial,which is very practical in the application of numerical computation.In this paper,we construct a new kind of effective difference schemes (Explicit-Implicit and Implicit-Explicit scheme) for solving the payment of dividend Black-Scholes equation,give the schemes of the convergence,stability of analysis and error estimates.The analysis demonstrates the schemes have same amount calculation,which is less than the classical Crank-Nicloson scheme's.Finally,the numerical example shows the efficiencies of the schemes.