Essays about: "finite-difference sheme"
Found 1 essay containing the words finite-difference sheme.
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1. Pricing of European type options for Levy and conditionally Levy type models
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)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
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