Sökning: "Feynman-Kac Rep- resentation"

Hittade 1 uppsats innehållade orden Feynman-Kac Rep- resentation.

  1. 1. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Marcus Hallabro; [2019]
    Nyckelord :Finite Difference Method; Option Pricing; Feynman-Kac Rep- resentation; Monte Carlo Simulation; Negative Probabilities.; Mathematics and Statistics;

    Sammanfattning : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. LÄS MER