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Stable Numerical Methods for PDE Models of Asian Options
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2011. , 54 p.
Keyword [en]
Financial Mathematics, numerics, PDE, Asian Options
National Category
Mathematical Analysis Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-16367Local ID: IDE1119OAI: oai:DiVA.org:hh-16367DiVA: diva2:444271
Subject / course
Financial Mathematics
Presentation
2011-05-30, Wigforssallen, halmstad University, Halmstad, 10:00 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2011-09-28 Created: 2011-09-28 Last updated: 2011-09-29Bibliographically approved

Open Access in DiVA

fulltext(612 kB)1912 downloads
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Type fulltextMimetype application/pdf

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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