Sökning: "Black and Scholes PDE"
Visar resultat 1 - 5 av 8 uppsatser innehållade orden Black and Scholes PDE.
- Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi
Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER
2. Pricing American and European options under the binomial tree model and its Black-Scholes limit modelKandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)
Sammanfattning : We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps, convergence of the stock prices and the option prices are obtained as N-> infinite. LÄS MER
- Kandidat-uppsats, KTH/Matematik (Inst.); KTH/Matematik (Inst.)
Sammanfattning : A convertible bond is a nancial instrument which has both an equity partand a xed-income part. The pricing of nancial securities has for quiteobvious reasons become extensively studied in the past decades. In thispaper we study the Black-Scholes model, based on the equity value, wherethe equity is modelled by geometric brownian motion. LÄS MER
- Magister-uppsats, KTH/Numerisk analys, NA
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
5. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method ApproachUppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Matematiska institutionen
Sammanfattning : There is the need for applying numerical methods to problems that cannot be solved analytically and as the spatial dimension of the problem is increased the need for computational recourses increase exponentially, a phenomenon known as the “curse of dimensionality”. In the Black-Scholes-Merton framework the American option pricing problem has no closed form solution and a numerical procedure has to be employed for solving a PDE. LÄS MER