Sökning: "Generalized Black-Scholes partial differential equations"

Hittade 1 uppsats innehållade orden Generalized Black-Scholes partial differential equations.

  1. 1. Fourth-Order Runge-Kutta Method for Generalized Black-Scholes Partial Differential Equations

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Sidra Tajammal; [2021]
    Nyckelord :Generalized Black-Scholes partial differential equations; Finite difference methods; Fourth-Order Runge-Kutta method; Stability and Convergence;

    Sammanfattning : The famous Black-Scholes partial differential equation is one of the most widely used and researched equations in modern financial engineering to address the complex evaluations in the financial markets. This thesis investigates a numerical technique, using a fourth-order discretization in time and space, to solve a generalized version of the classical Black-Scholes partial differential equation. LÄS MER