Essays about: "pde options"
Showing result 1 - 5 of 7 essays containing the words pde options.
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1. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation
University essay from Lunds universitet/Matematisk statistikAbstract : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. READ MORE
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2. Pricing American and European options under the binomial tree model and its Black-Scholes limit model
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps, convergence of the stock prices and the option prices are obtained as N-> infinite. READ MORE
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3. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. READ MORE
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4. Stable Numerical Methods for PDE Models of Asian Options
University essay from Tillämpad matematik och fysik (MPE-lab)Abstract : Asian options are exotic financial derivative products which price must be calculated by numerical evaluation. In this thesis, we study certain ways of solving partial differential equations, which are associated with these derivatives. READ MORE
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5. Pricing a Multi-Asset American Option in a Parallel Environment by a Finite Element Method Approach
University essay from Matematiska institutionenAbstract : There is the need for applying numerical methods to problems that cannot be solved analytically and as the spatial dimension of the problem is increased the need for computational recourses increase exponentially, a phenomenon known as the “curse of dimensionality”. In the Black-Scholes-Merton framework the American option pricing problem has no closed form solution and a numerical procedure has to be employed for solving a PDE. READ MORE
