Essays about: "numerical methods in option valuation"
Showing result 1 - 5 of 7 essays containing the words numerical methods in option valuation.
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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 kommunikationAbstract : 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
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2. Pricing Financial Derivatives with the FiniteDifference Method
University essay from KTH/Matematisk statistikAbstract : 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
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3. State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends
University essay from Uppsala universitet/Institutionen för informationsteknologiAbstract : In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. READ MORE
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4. Meshfree methods in option pricing
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)Abstract : A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. READ MORE
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5. Numerical Methods for Pricing Swing Options in the Electricity Market
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)Abstract : Since the liberalisation of the energy market in Europe in the early 1990s, much opportunity to trade electricity as a commodity has arisen. One significant consequence of this movement is that market prices have become more volatile instead of its tradition constant rate of supply. READ MORE