Sökning: "Deniz kaya"

Hittade 1 uppsats innehållade orden Deniz kaya.

  1. 1. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach

    Uppsats för yrkesexamina på avancerad nivå, Matematiska institutionen

    Författare :Deniz Kaya; [2011]
    Nyckelord :multi-asset American options; Parallel Computing; Finite Element Method-of-lines; Projected Successive Over Relaxation for American option pricing;

    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