Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing

Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing

[EN] In the stock markets, the process of estimating a fair price for a stock, option or commodity is consider the corner stone for this trade. There are several attempts to obtain a suitable mathematical model in order to enhance the estimation process for evaluating the options for short or long...

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Bibliographic Details
Main Author: El-Fakharany, Mohamed Mostafa Refaat
Other Authors: Company Rossi, Rafael
Format: Doctoral Thesis
Language:English
Published: Universitat Politècnica de València 2015
Subjects:
Option pricing
Lévy models
Partial integro-differential equations
Finite difference methods
Numerical analysis
MATEMATICA APLICADA
Online Access:http://hdl.handle.net/10251/53917

Internet

http://hdl.handle.net/10251/53917

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