Essays about: "option pricing with finite difference"

Showing result 6 - 10 of 12 essays containing the words option pricing with finite difference.

  1. 6. Stencil Study for RBF-FD in Option Pricing

    University essay from Uppsala universitet/Institutionen för teknikvetenskaper

    Author : Robin Eriksson; [2016]
    Keywords : RBF-FD; Option pricing;

    Abstract : This thesis contains results on convergence studies for different stencils of radial basis function generated finite difference (RBF-FD) method applied to solving Black-Scholes equation for pricing European call options. The results experimentally confirm the theoretical convergence rates for smooth payoff functions with stencils of size 3, 5 and 7 in one- dimensional problems, and 9, 13 and 25 in two- dimensional problems. READ MORE

  3. 7. Collateral choice option valuation

    University essay from KTH/Matematisk statistik

    Author : Sébastian Mollaret; [2015]
    Keywords : Collateral; optimal collateral posting; multi-currency collateral; collateral pricing; collateral discounting; conditional independence.;

    Abstract : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). READ MORE

  4. 8. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : David Hjelmberg; Björn Lagerström; [2014]
    Keywords : American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

    Abstract : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. READ MORE

  5. 9. Examination of Impact from Different Boundary Conditions on the 2D Black-Scholes Model : Evaluating Pricing of European Call Options

    University essay from Uppsala universitet/Avdelningen för beräkningsvetenskap

    Author : Tomas Sundvall; David Trång; [2014]
    Keywords : Black-Scholes; Option pricing; Boundary conditions;

    Abstract : This paper examines different combinations of close-field and far-field boundary conditions for solving the 2D Black-Scholes model using finite difference methods in space. The combinations were also tested for different parameter settings. READ MORE

  6. 10. A comparison between finite differenceand binomial methods for solvingAmerican single-stock options

    University essay from KTH/Numerisk analys, NA

    Author : Alexander Eriksson; [2013]
    Keywords : ;

    Abstract : In this thesis, we compare four different finite-difference solvers with a binomial solver for pricing American options, with a special emphasis on achievable accuracy under computational time constraints. The three finite-difference solvers are: an operator splitting method suggested by S. Ikonen and J. READ MORE