A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costs

Description

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.

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3198

Tags

Mathematics

nonlinear Black-Scholes equation

Barles-Soner volatility

compact methods

Numerical analysis

Numerisk analys

Applied mathematics

Tillämpad matematik

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-3198
Date	January 2009
Creators	Dremkova, Ekaterina
Publisher	Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, info:eu-repo/semantics/bachelorThesis, text
Format	application/pdf
Rights	info:eu-repo/semantics/openAccess