dc.contributor.advisor Patidar, Kailash C. dc.contributor.author Pindza, Edson dc.date.accessioned 2015-05-04T07:53:06Z dc.date.available 2015-05-04T07:53:06Z dc.date.issued 2012 dc.identifier.uri http://hdl.handle.net/11394/4092 dc.description Doctor Scientiae - DSc en_US dc.description.abstract Robust Spectral Methods for Solving Option Pricing Problems en_US by Edson Pindza PhD thesis, Department of Mathematics and Applied Mathematics, Faculty of Natural Sciences, University of the Western Cape Ever since the invention of the classical Black-Scholes formula to price the financial derivatives, a number of mathematical models have been proposed by numerous researchers in this direction. Many of these models are in general very complex, thus closed form analytical solutions are rarely obtainable. In view of this, we present a class of efficient spectral methods to numerically solve several mathematical models of pricing options. We begin with solving European options. Then we move to solve their American counterparts which involve a free boundary and therefore normally difficult to price by other conventional numerical methods. We obtain very promising results for the above two types of options and therefore we extend this approach to solve some more difficult problems for pricing options, viz., jump-diffusion models and local volatility models. The numerical methods involve solving partial differential equations, partial integro-differential equations and associated complementary problems which are used to model the financial derivatives. In order to retain their exponential accuracy, we discuss the necessary modification of the spectral methods. Finally, we present several comparative numerical results showing the superiority of our spectral methods. dc.language.iso en en_US dc.publisher University of the Western Cape en_US dc.subject Financial derivatives European and American options Exotic options Jump-diffusion models Volatility models Spectral methods Rational approximations Time integration methods Penalty methods. en_US dc.title Robust Spectral Methods for Solving Option Pricing Problems en_US dc.rights.holder University of the Western Cape en_US
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