Study of Moving Mesh Method for Pricing Barrier Option Using Neumann Boundary Condition
碩士 === 國立中正大學 === 應用數學研究所 === 90 === Abstract In this paper, we consider the pricing of the down-and-out barrier call option, modelled by Black-Scholes formula together with suitable Dirichlet or Neumann boundary conditions. We use the moving mesh method proposed by Dorfi and Drury to s...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31002514018102466054 |