Application of Homomorpic Encryption in Black-Scholes Equation

Abstract

This paper propose the method that is the calculation for price of option to apply a fully homomorphic encryption. In chapter 1,we provide a brief introduction about how to apply that information. In chapter 2, we describe a typical option pricing model which is the Black-Scholes equation and derive its solution. In chapter 3, we introduce CRT-based FHE [8] published at Seoul National University, and BGV algorithm[7] that used in the design of HElib. Finally, In chapter 4, we show that the results of calculated by modifying c++ code of [8] implementd NTL written by Dr. Lee Hyung-Tae (Nanyang Technological University). And we discuss to improve ways.