Numerical Evaluation of Installment Options
碩士 === 逢甲大學 === 應用數學學系 === 101 === This thesis mainly studies the application of finite difference method to solve Black-Scholes equation for pricing European and American installment options. Wesurveyed the literatures of installment options, and studied their pricing models with the integral solut...
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| Format: | Others |
| Language: | zh-TW |
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2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08860824468053677068 |
| Summary: | 碩士 === 逢甲大學 === 應用數學學系 === 101 === This thesis mainly studies the application of finite difference method to solve Black-Scholes equation for pricing European and American installment options. Wesurveyed the literatures of installment options, and studied their pricing models with the integral solutions. Here we introduce the Forward Euler and the Crank-Nicolson finite difference methods to calculate the prices of European and American installment options. The optimal boundaries are then calculated afterwards. Finally, we compare our numerical results with the literatures.
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