Efficient numerical methods based on integral transforms to solve option pricing problems
Philosophiae Doctor - PhD === In this thesis, we design and implement a class of numerical methods (based on integral transforms) to solve PDEs for pricing a variety of financial derivatives. Our approach is based on spectral discretization of the spatial (asset) derivatives and the use of inverse L...
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| Language: | en |
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University of the Western Cape
2015
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| Online Access: | http://hdl.handle.net/11394/4223 |