A finite element approach to pricing Barrier options

A finite element approach to pricing Barrier options

In this dissertation we consider the valuation of discretely monitored barrier options under the in nite element method. The in nite element method is an extension to the standard nite element method that accepts problems with unbounded spacial domains (such as the Black-Scholes PDE), without r...

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Bibliographic Details
Main Author: Richards, Mark Timothy
Other Authors: Van Zyl, A.J.
Language:en
Published: University of Pretoria 2017
Subjects:
UCTD
Online Access:http://hdl.handle.net/2263/60854
Richards, MT 2015, A finite element approach to pricing Barrier options, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/60854>

Internet

http://hdl.handle.net/2263/60854
Richards, MT 2015, A finite element approach to pricing Barrier options, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/60854>

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