Sökning: "Black-Scholes ekvation"
Hittade 3 uppsatser innehållade orden Black-Scholes ekvation.
1. Pricing Financial Derivatives with the FiniteDifference Method
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. Inverse Parameter Estimation using Hamilton-Jacobi Equations
Magister-uppsats, KTH/Numerisk analys, NASammanfattning : 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
3. Black-Scholes : En prissättningsmodell för optioner
Kandidat-uppsats, Institutionen för matematik och matematisk statistikSammanfattning : 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