Sökning: "finite-difference sheme"
Hittade 1 uppsats innehållade orden finite-difference sheme.
1. Pricing of European type options for Levy and conditionally Levy type models
Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Sammanfattning : In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a constant. In the simplest case it changes at once at a certain time moment Tau. LÄS MER
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