Essays about: "Black-Scholes equation"

Showing result 1 - 5 of 27 essays containing the words Black-Scholes equation.

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. Deterministic Quadrature Formulae for the Black–Scholes Model

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

   Author : Sajedeh Saadat; Timo Kudljakov; [2021]
   Keywords : Deterministic quadrature formulae; Stochastic differential equation; Black--Scholes model; Discretization method.;

   Abstract : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. READ MORE

4. 3. Fourth-Order Runge-Kutta Method for Generalized Black-Scholes Partial Differential Equations

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

   Author : Sidra Tajammal; [2021]
   Keywords : Generalized Black-Scholes partial differential equations; Finite difference methods; Fourth-Order Runge-Kutta method; Stability and Convergence;

   Abstract : The famous Black-Scholes partial differential equation is one of the most widely used and researched equations in modern financial engineering to address the complex evaluations in the financial markets. This thesis investigates a numerical technique, using a fourth-order discretization in time and space, to solve a generalized version of the classical Black-Scholes partial differential equation. READ MORE

5. 4. Finite Difference Methods for the Black-Scholes Equation

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

   Author : Asima Parveen Saleemi; [2020]
   Keywords : Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

   Abstract : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. READ MORE

6. 5. When to expect decreasing implied volatilities

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Tobias Nordahl; [2020]
   Keywords : finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

   Abstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE