Numerical Approximation of Valuation Equations Incorporating Stochastic Volatility Models
This dissertation studies the problem of controlling far field boundary errors arising in partial differential equation approaches for pricing financial contracts written on stochastic volatility models. Feynman-Kac type results are obtained by relating finite domain Dirichlet problems to options be...
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| Format: | Others |
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Research Showcase @ CMU
2014
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| Online Access: | http://repository.cmu.edu/dissertations/317 http://repository.cmu.edu/cgi/viewcontent.cgi?article=1317&context=dissertations |