<p>In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-3198 |
| Date | January 2009 |
| Creators | Dremkova, Ekaterina |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
Page generated in 0.0021 seconds