Efficient numerical methods for pricing American options
In this thesis we study efficient numerical methods for pricing American options. We apply option pricing models which are based on the Black and Scholes theory and Heston’s stochastic volatility model. Prices for American options are modelled by linear complementarity problems with one-dimensional...
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| Muut tekijät: | , |
| Aineistotyyppi: | Väitöskirja |
| Kieli: | eng |
| Julkaistu: |
2005
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| Linkit: | https://jyx.jyu.fi/handle/123456789/75819 |