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Numerical Solution of the American Option Pricing by the Penalty Method
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE).
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE).
2012 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

The American option pricing problem can be described mathematically bythe well-known Black-Scholes equation with a free boundary. It is difficult to solvethis problem since the free boundary is unknown.To accomplish that, we make use of the Implicit Finite-difference Method and Penalty Method which means to add a continuous penalty term with a small parameter 2 into the Black-Scholes equation,to transform the original free boundary problem into a nonlinear partial differential equation with a fixed boundary.

sted, utgiver, år, opplag, sider
2012. , s. 21
Emneord [en]
Numerical, Option, Penalty
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-19908Lokal ID: IDE1261OAI: oai:DiVA.org:hh-19908DiVA, id: diva2:564463
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2012-11-13 Laget: 2012-11-01 Sist oppdatert: 2012-11-13bibliografisk kontrollert

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