Sökning: "nonlinear Black-Scholes equation"

Hittade 4 uppsatser innehållade orden nonlinear Black-Scholes equation.

  1. 1. Operator Splitting Methods and Artificial Boundary Conditions for a nonlinear       Black-Scholes equation

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Författare :Marek Uhliarik; [2010]
    Nyckelord :finacial Mathematics; nonlinear Black-Scholes equation; volatility models; splitting methods;

    Sammanfattning : There are some nonlinear models for pricing financial derivatives which can improve the linear Black-Scholes model introduced by Black, Scholes and Merton. In these models volatility is not constant anymore, but depends on some extra variables. It can be, for example, transaction costs, a risk from a portfolio, preferences of a large trader, etc. LÄS MER

  3. 2. A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costs

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Ekaterina Dremkova; [2009]
    Nyckelord :Mathematics; nonlinear Black-Scholes equation; Barles-Soner volatility; compact methods;

    Sammanfattning : In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy. . LÄS MER

  4. 3. The fair price evaluation problem in illiquid markets : a Lie group analysis of a nonlinear model

    Magister-uppsats, Högskolan i Halmstad

    Författare :Maxim Bobrov; []
    Nyckelord :illiquid markets; Lie group analysis;

    Sammanfattning : We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Scholes equation for illiquid markets. LÄS MER

  5. 4. The feedback effects in illiquid markets, hedging strategies of large traders

    Magister-uppsats, Sektionen för lärarutbildning (LUT)

    Författare :Nadezda Sergeeva; []
    Nyckelord :feedback; hedging; traders; illiquid; symmetry; analysis; Lie; algebra;

    Sammanfattning : The master thesis is devoted to an analysis of equilibrium or reaction-function models in illiquidity markets of derivatives. The main equation is a nonlinear equation which is a perturbation of Black-Scholes model. By using analytical methods we study invariant and scaling properties for the considered model. . LÄS MER