>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
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uwc/oai:etd.uwc.ac.za:11394/8859 |
| Date | January 2021 |
| Creators | Tawe, Tarla Divine |
| Contributors | Patidar, Kailash C. |
| Publisher | University of Western Cape |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Rights | University of Western Cape |
Page generated in 0.0022 seconds