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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Analysis and simulation of nonlinear option pricing problems

Tawe, Tarla Divine January 2021 (has links)
>Magister Scientiae - MSc / We present the Black-Scholes Merton partial differential equation (BSMPDE) and its analytical solution. We present the Black-Scholes option pricing model and list some limitations of this model. We also present a nonlinear model (the Frey-Patie model) that may improve on one of these limitations. We apply various numerical methods on the BSMPDE and run simulations to compare which method performs best in approximating the value of a European put option based on the maximum errors each method produces when we vary some parameters like the interest rate and the volatility. We re-apply the same finite difference methods on the nonlinear model. / 2025

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