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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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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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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洪子倫 |
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洪子倫 李欣倍 |
author |
李欣倍 |
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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 |
work_keys_str_mv |
AT lǐxīnbèi numericalevaluationofinstallmentoptions AT lǐxīnbèi fēnqīfùkuǎnxuǎnzéquánzhīshùzhídìngjià |
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1718082437879169024 |