Essays about: "Dmitry Shcherbakov"

Found 1 essay containing the words Dmitry Shcherbakov.

  1. 1. Exponential Fitting, Finite Volume and Box Methods in Option Pricing.

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

    Author : Dmitry Shcherbakov; Sylwia Szwaczkiewicz; [2010]
    Keywords : Financial Mathematics; numerical methods; exponential fitting; option pricing;

    Abstract : In this thesis we focus mainly on special finite differences and finite volume methods and apply them to the pricing of barrier options.The structure of this work is the following: in Chapter 1 we introduce the definitions of options and illustrate some properties of vanilla European options and exotic options. READ MORE