Essays about: "numerical methods in option valuation"

Showing result 1 - 5 of 7 essays containing the words numerical methods in option valuation.

1. 1. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Nicolas Kuiper; Martin Westberg; [2023]
   Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

   Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE

3. 2. Pricing Financial Derivatives with the FiniteDifference Method

   University essay from KTH/Matematisk statistik

   Author : Sargon Danho; [2017]
   Keywords : American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet;

   Abstract : In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. READ MORE

4. 3. State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends

   University essay from Uppsala universitet/Institutionen för informationsteknologi

   Author : Johan Venemalm; [2014]
   Keywords : Computational Finance; American Call Options; Escrowed Dividend Model; Finite Differences; Time Non-Equidistant Methods;

   Abstract : In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. READ MORE

5. 4. Meshfree methods in option pricing

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Author : Anna Belova; Tamara Shmidt; [2011]
   Keywords : Financial Mathematics; option pricing; RBF; PDE; meshfree methods;

   Abstract : A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. READ MORE

6. 5. Numerical Methods for Pricing Swing Options in the Electricity Market

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Author : Matilda Guo; Maria Lapenkova; [2010]
   Keywords : Financial Mathematics; Numerical methods; Swing options; Electricity market;

   Abstract : Since the liberalisation of the energy market in Europe in the early 1990s, much opportunity to trade electricity as a commodity has arisen. One significant consequence of this movement is that market prices have become more volatile instead of its tradition constant rate of supply. READ MORE