hh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A high order compact method for nonlinear Black-Scholes option pricing equations with transaction costs
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). (Financial Mathematics)
2009 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2009.
Keyword [en]
Mathematics, nonlinear Black-Scholes equation, Barles-Soner volatility, compact methods
National Category
Computational Mathematics Computational Mathematics
Identifiers
URN: urn:nbn:se:hh:diva-3198OAI: oai:DiVA.org:hh-3198DiVA: diva2:274780
Presentation
2009-06-02, ldasalen, Halmstad University, 301 18 Halmstad, Halmstad, 11:45 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2009-11-20 Created: 2009-11-01 Last updated: 2009-11-20Bibliographically approved

Open Access in DiVA

fulltext(311 kB)513 downloads
File information
File name FULLTEXT01.pdfFile size 311 kBChecksum SHA-512
de013d09ebafbb3e0f0e0e10bffb7bb06dd50cc9dfc1a9d4ce072d66b45c42a4bfbaec7f4667280f7a168fc2d32a19ffd8d884b7c944644ebe1957f0e6fbec09
Type fulltextMimetype application/pdf

By organisation
School of Information Science, Computer and Electrical Engineering (IDE)
Computational MathematicsComputational Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 513 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 189 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf