Browsing Philosophiae Doctor - PhD (Mathematics) by Author "Ngounda, Edgard"
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Efficient numerical methods based on integral transforms to solve option pricing problems
Ngounda, Edgard (University of the Western Cape, 2012)In this thesis, we design and implement a class of numerical methods (based on integral transforms) to solve PDEs for pricing a variety of financial derivatives. Our approach is based on spectral discretization of the ...