Sökning: "Numerical methods for solving the Black-Scholes equation"
Hittade 1 uppsats innehållade orden Numerical methods for solving the Black-Scholes equation.
1. Evaluation of a least-squares radial basis function approximation method for solving the Black-Scholes equation for option pricing
Master-uppsats, Institutionen för informationsteknologiSammanfattning : Radial basis function (RBF) approximation, is a new extremely powerful tool that is promising for high-dimensional problems, such as those arising from pricing of basket options using the Black-Scholes partial differential equation. The main problem for RBF methods have been ill-conditioning as the RBF shape parameter becomes small, corresponding to flat RBFs. LÄS MER
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