Browsing Magister Scientiae - MSc (Mathematics and Applied Mathematics) by Subject "Quantitative finance"

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  • Analysis and simulation of nonlinear option pricing problems 

    Tawe, Tarla Divine (University of Western Cape, 2021)
    We present the Black-Scholes Merton partial differential equation (BSMPDE) and its analytical solution. We present the Black-Scholes option pricing model and list some limitations of this model. We also present a nonlinear ...