Sökning: "Håkan Tornberg"

Hittade 1 uppsats innehållade orden Håkan Tornberg.

  1. 1. Discretization of the Dirac delta function for application in option pricing

    Kandidat-uppsats, Uppsala universitet/Avdelningen för beräkningsvetenskap

    Författare :Håkan Öhrn; Adam Lindell; [2016]
    Nyckelord :;

    Sammanfattning : This paper compares two different approximations of the Dirac deltafunction used in a Fokker-Planck equation. Both methods deal with the singularity problem in the initial condition. The Dirac delta approximation, constructed in MATLAB with a method derived by Tornberg and Engquist, was compared to an already given method Aït-Sahalia. LÄS MER