Sökning: "Black-Scholes ekvation"

Hittade 3 uppsatser innehållade orden Black-Scholes ekvation.

1. 1. Pricing Financial Derivatives with the FiniteDifference Method

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Sargon Danho; [2017]
   Nyckelord :American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet;

   Sammanfattning : In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. LÄS MER

3. 2. Inverse Parameter Estimation using Hamilton-Jacobi Equations

   Magister-uppsats, KTH/Numerisk analys, NA

   Författare :Mikael Helin; [2013]
   Nyckelord :Hamilton-Jacobi equation. Optimal control. Euler method.; Hamilton-Jacobi ekvationer. Optimal styrning. Eulers stegmetoder;

   Sammanfattning : Inthis degree project, a solution on a coarse grid is recovered by fitting apartial differential equation to a few known data points. The PDE to consideris the heat equation and the Dupire’s equation with their synthetic data,including synthetic data from the Black-Scholes formula. LÄS MER

4. 3. Black-Scholes : En prissättningsmodell för optioner

   Kandidat-uppsats, Institutionen för matematik och matematisk statistik

   Författare :Linnea Lindström; [2010]
   Nyckelord :Black Scholes; optioner;

   Sammanfattning : This paper aims to derive the Black-Scholes equation for readers without advanced knowledge in finance and mathematics. To succeed, this paper contains a theoretical chapter in which concepts such as options, interest rate, differential equations and stochastic variable are explained. LÄS MER