Essays about: "pricing with finite difference method"

Showing result 1 - 5 of 12 essays containing the words pricing with finite difference method.

1. 1. Differential Deep Learning for Pricing Exotic Financial Derivatives

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Erik Alexander Aslaksen Jonasson; [2021]
   Keywords : Deep Learning; Exotic Derivatives; Differential Machine Learning;

   Abstract : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. READ MORE

3. 2. 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 statistik

   Author : Marcus Hallabro; [2019]
   Keywords : Finite Difference Method; Option Pricing; Feynman-Kac Rep- resentation; Monte Carlo Simulation; Negative Probabilities.; Mathematics and Statistics;

   Abstract : 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

4. 3. Measuring the Risk-neutral Probability Distribution of Equity Index Options

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Dackner; Linus Falk; [2019]
   Keywords : ;

   Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

5. 4. Pricing Financial Derivatives with the FiniteDifference Method

   University essay from KTH/Matematisk statistik

   Author : Sargon Danho; [2017]
   Keywords : American Call Option; Black-Scholes Equation; European Option; Finite Difference Method; Heat Equation; Optimal Exercise Boundary; Optimal Exit Boundary; Stock Loan; Amerikanska köpoptioner; Black-Scholes ekvation; europeiska optioner; finita differensmetoden; värmeledningsekvationen; optimala omvandlingsgräns; optimala avyttringsgräns; lån med aktier som säkerhet;

   Abstract : 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

6. 5. Smoothing of initial conditions for high order approximations in option pricing

   University essay from Uppsala universitet/Avdelningen för beräkningsvetenskap

   Author : Andreas Abrahamsson; Rasmus Pettersson; [2016]
   Keywords : Finite Differences; Computational Finance; Black Scholes;

   Abstract : In this article the Finite Difference method is used to solve the Black Scholes equation. A second order and fourth order accurate scheme is implemented in space and evaluated. The scheme is then tried for different initial conditions. First the discontinuous pay off function of a European Call option is used. READ MORE