Spectral Discretizations of Option Pricing Models for European Put Options
The aim of this thesis is to solve option pricing models efficiently by using spectral methods. The option pricing models that will be solved are the Black-Scholes model and Heston's stochastic volatility model. We will restrict us to pricing European put options. We derive the partial diff...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-26546 |