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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Main Author: 李欣倍
Other Authors: 洪子倫
Format: Others
Language:zh-TW
Published: 2013
Online Access:http://ndltd.ncl.edu.tw/handle/08860824468053677068
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spelling ndltd-TW-101FCU055070112015-10-13T22:57:02Z http://ndltd.ncl.edu.tw/handle/08860824468053677068 Numerical Evaluation of Installment Options 分期付款選擇權之數值訂價 李欣倍 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. 洪子倫 2013 學位論文 ; thesis 44 zh-TW
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language zh-TW
format Others
sources NDLTD
description 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.
author2 洪子倫
author_facet 洪子倫
李欣倍
author 李欣倍
spellingShingle 李欣倍
Numerical Evaluation of Installment Options
author_sort 李欣倍
title Numerical Evaluation of Installment Options
title_short Numerical Evaluation of Installment Options
title_full Numerical Evaluation of Installment Options
title_fullStr Numerical Evaluation of Installment Options
title_full_unstemmed Numerical Evaluation of Installment Options
title_sort numerical evaluation of installment options
publishDate 2013
url http://ndltd.ncl.edu.tw/handle/08860824468053677068
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