hh.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Meshfree methods in option pricing
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE).
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]

A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation with respect to time. By the next step, the option price is approximated in space with radial basis functions (RBF) with unknown parameters, in particular, we con- sider multiquadric radial basis functions (MQ-RBF). In case of Ameri- can options a penalty method is used, i.e. removing the free boundary is achieved by adding a small and continuous penalty term to the Black- Scholes equation. Finally, a comparison of analytical and finite difference solutions and numerical results from the literature is included.

sted, utgiver, år, opplag, sider
2011. , s. 59
Emneord [en]
Financial Mathematics, option pricing, RBF, PDE, meshfree methods
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-16383Lokal ID: IDE1124OAI: oai:DiVA.org:hh-16383DiVA, id: diva2:444783
Fag / kurs
Financial Mathematics
Presentation
2011-05-30, Wigforssallen, Halmstad University, Halmstad, 10:01 (engelsk)
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2011-09-30 Laget: 2011-09-30 Sist oppdatert: 2011-10-03bibliografisk kontrollert

Open Access i DiVA

fulltext(694 kB)1011 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 694 kBChecksum SHA-512
e5324e65e43f29e22c1e52331675b34de58b99fc5c0c1f5cb24c99af95e1ce235199ef6f59a39cf3e3efb34a3a6ca7768459e78b55f9867571e3da1615b58ed4
Type fulltextMimetype application/pdf

Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 1021 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 924 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf