Browsing Faculty of Natural Science by Subject "Partial differential equations"
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Analysis and simulation of nonlinear option pricing problems
(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 ... -
Efficient numerical methods based on integral transforms to solve option pricing problems
(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 ...