Essays about: "finite-difference sheme"

Found 1 essay containing the words finite-difference sheme.

  1. 1. Pricing of European type options for Levy and conditionally Levy type models

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Stepan Sushko; [2008]
    Keywords : martingale; Levy measure; Winner process; finite-difference sheme; Black-Scholes;

    Abstract : 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. READ MORE