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Stable Treatment of Discontinuities in the Numerical Pricing of Options with Dividens
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology.
2011 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Black-Scholes is the widely used model of option pricing in practice. In this thesis, discontinuous dividends are involved into the Black-Scholes model. With some substitutions, the Black-Scholes equation can be transferred into another form. The main part of the thesis is about how to avoid the oscillations near the discontinuities using several oscillation-free methods. Furthermore, the error analysis and the result of the methods based on both the Black-Scholes equation and the transferred one are introduced.

Place, publisher, year, edition, pages
2011.
Series
IT, 11 071
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:uu:diva-159857OAI: oai:DiVA.org:uu-159857DiVA: diva2:447200
Educational program
Master Programme in Computational Science
Uppsok
Technology
Supervisors
Examiners
Available from: 2011-10-21 Created: 2011-10-11 Last updated: 2011-10-21Bibliographically approved

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Type fulltextMimetype application/pdf

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CiteExportLink to record
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