Essays about: "BSM PDE"
Found 1 essay containing the words BSM PDE.
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1. 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/ProduktionsekonomiAbstract : 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
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