Search for dissertations about: "Finite element method for option pricing"
Found 3 swedish dissertations containing the words Finite element method for option pricing.
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1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction
Abstract : In this thesis we develop an adaptive finite element method for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. READ MORE
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2. Some Applications of Variational Inequalities in Mathematical Finance and Numerics
Abstract : This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. READ MORE
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3. Essays in Quantitative Finance
Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE