Search for dissertations about: "Georgios Foufas"

Found 3 swedish dissertations containing the words Georgios Foufas.

2. 1. Valuing path-dependent options using the finite element method and duality techniques

   Author : Georgios Foufas; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : .... READ MORE

4. 2. Valuing Path-Dependent Options using the Finite Element Method and Duality Techniques

   Author : Georgios Foufas; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : .... READ MORE

5. 3. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

   Author : Georgios Foufas; Göteborgs universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option;

   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