Research
Communication | Open Access
Volume 2021 | Communication ID 73
Volume 2021 | Communication ID 73
Black & Scholes model with application to oil options |
Hajar Nafia, Yamna Achik, Imane Agmour, Asmaa Idmbarek, Naceur Achtaich, Youssef El foutayeni
Received |
Accepted |
Published |
May 13, 2021 |
May 20, 2021 |
July 15, 2021 |
Abstract: American option is an option that can be exercised at any time until its expiration date. In this presentation we will present the Black and Scholes model for pricing American options by adding a dividend rate. And we're going to estimate the American put option price using the discretization in the Crank-Nicholson approach, which leads to present the put option price as a solution of the linear complementarity problem. For solving this problem and pricing the put options, we use a fast algorithm. For the application to oil options, in the free market, fluctuations in the price of oil are ...