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Stable Numerical Methods for PDE Models of Asian Options
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial Mathematics)
2011 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

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.

sted, utgiver, år, opplag, sider
2011. , s. 54
Emneord [en]
Financial Mathematics, numerics, PDE, Asian Options
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-16367Lokal ID: IDE1119OAI: oai:DiVA.org:hh-16367DiVA, id: diva2:444271
Fag / kurs
Financial Mathematics
Presentation
2011-05-30, Wigforssallen, halmstad University, Halmstad, 10:00 (engelsk)
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2011-09-28 Laget: 2011-09-28 Sist oppdatert: 2011-09-29bibliografisk kontrollert

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