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Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing

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Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing

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Egorova, V. (2016). Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing [Tesis doctoral no publicada]. Universitat Politècnica de València. doi:10.4995/Thesis/10251/68501.

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Title: Finite Difference Methods for nonlinear American Option Pricing models: Numerical Analysis and Computing
Author:
Director(s): Company Rossi, Rafael Jódar Sánchez, Lucas Antonio
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Read date / Event date:
2016-07-18
Issued date:
Abstract:
[EN] The present PhD thesis is focused on numerical analysis and computing of finite difference schemes for several relevant option pricing models that generalize the Black-Scholes model. A careful analysis of desirable ...[+]


[ES] La presente tesis doctoral se centra en la construcción de esquemas en diferencias finitas y el análisis numérico de relevantes modelos de valoración de opciones que generalizan el modelo de Black-Scholes. Se proporciona ...[+]


[CAT] La present tesi doctoral se centra en la construcció d'esquemes en diferències finites i l'anàlisi numèrica de rellevants models de valoració d'opcions que generalitzen el model de Black-Scholes. Es proporciona una ...[+]
Subjects: Finite-difference methods , Numerical analysis , American options , Front-fixing method
Copyrigths: Reserva de todos los derechos
DOI: 10.4995/Thesis/10251/68501
Type: Tesis doctoral

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