Essays about: "Black-Scholes ekvation"

Found 2 essays containing the words Black-Scholes ekvation.

1. 1. 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

3. 2. Inverse Parameter Estimation using Hamilton-Jacobi Equations

   University essay from KTH/Numerisk analys, NA

   Author : Mikael Helin; [2013]
   Keywords : Hamilton-Jacobi equation. Optimal control. Euler method.; Hamilton-Jacobi ekvationer. Optimal styrning. Eulers stegmetoder;

   Abstract : Inthis degree project, a solution on a coarse grid is recovered by fitting apartial differential equation to a few known data points. The PDE to consideris the heat equation and the Dupire’s equation with their synthetic data,including synthetic data from the Black-Scholes formula. READ MORE