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1. 1. Operator Splitting Methods and Artificial Boundary Conditions for a nonlinear       Black-Scholes equation

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

   Author : Marek Uhliarik; [2010]
   Keywords : finacial Mathematics; nonlinear Black-Scholes equation; volatility models; splitting methods;

   Abstract : There are some nonlinear models for pricing financial derivatives which can improve the linear Black-Scholes model introduced by Black, Scholes and Merton. In these models volatility is not constant anymore, but depends on some extra variables. It can be, for example, transaction costs, a risk from a portfolio, preferences of a large trader, etc. READ MORE