Operator Splitting Methods and Artificial Boundary Conditions for a nonlinear Black-Scholes equation
There are some nonlinear models for pricing financial derivatives which can improve the linear Black-Scholes model introduced by Black, Scholes and Merton. In these models volatility is not constant anymore, but depends on some extra variables. It can be, for example, transaction costs, a risk from...
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| Format: | Others |
| Language: | English |
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Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-6111 |