Sökning: "Black and Scholes PDE"

Visar resultat 6 - 8 av 8 uppsatser innehållade orden Black and Scholes PDE.

1. 6. Meshfree methods in option pricing

   Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Författare :Anna Belova; Tamara Shmidt; [2011]
   Nyckelord :Financial Mathematics; option pricing; RBF; PDE; meshfree methods;

   Sammanfattning : A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. LÄS MER

3. 7. Calibrating an option pricing model under regime-switching volatility

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Johan Kilander; [2007]
   Nyckelord :stochastic volatility; option pricing; regime-swtiching; markov chain; PDE;

   Sammanfattning : A Black-Scholes market is considered in which asset prices are modelled by a geometric Brownian motion with regime-switching volatility. The regime-switching allows the volatility to jump randomly amongst a finite number of volatility states. Pricing equations of European options are derived and the equations are solved numerically. LÄS MER

4. 8. The fair price evaluation problem in illiquid markets : a Lie group analysis of a nonlinear model

   Magister-uppsats, Högskolan i Halmstad

   Författare :Maxim Bobrov; []
   Nyckelord :illiquid markets; Lie group analysis;

   Sammanfattning : We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Scholes equation for illiquid markets. LÄS MER