Numerical Methods for Nonlinear Equations in Option Pricing
This thesis explores numerical methods for solving nonlinear partial differential equations (PDEs) that arise in option pricing problems. The goal is to develop or identify robust and efficient techniques that converge to the financially relevant solution for both one and two factor proble...
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| Format: | Others |
| Language: | en |
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University of Waterloo
2006
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| Online Access: | http://hdl.handle.net/10012/1062 |