Stable Treatment of Discontinuities in the Numerical Pricing of Options with Dividens
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 osc...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Institutionen för informationsteknologi
2011
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-159857 |