Return to search

Stable Numerical Methods for PDE Models of Asian Options

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. Since standard numerical techniques for Asian options are often incorrect and impractical, we discuss their variations, which are efficiently applicable for handling frequent numerical instabilities reflected in form of oscillatory solutions. We will show that this crucial problem can be treated and eliminated by adopting flux limiting techniques, which are total variation dimishing.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-16367
Date January 2011
CreatorsRehurek, Adam
PublisherHögskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

Page generated in 0.0019 seconds