Stable Numerical Methods for PDE Models of Asian Options
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...
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| Format: | Others |
| Language: | English |
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Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab)
2011
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16367 |