Spelling suggestions: "subject:"dictability anda convergence analysis"" "subject:"dictability ando convergence analysis""
1 |
Analysis and simulation of nonlinear option pricing problemsTawe, 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
|
Page generated in 0.124 seconds