Title page for etd-0705104-120606


[Back to Results | New Search]

URN etd-0705104-120606
Author Chen-Hui Hung
Author's Email Address hungch@math.nsysu.edu.tw
Statistics This thesis had been viewed 5061 times. Download 2775 times.
Department Applied Mathematics
Year 2003
Semester 2
Degree Master
Type of Document
Language English
Title A Multidimensional Fitted Finite Volume Method for the Black-Scholes Equation Governing Option Pricing
Date of Defense 2004-05-28
Page Count 17
Keyword
  • option pricing
  • finite volume method
  • stochastic volatility
  • Black-Scholes equation
  • Abstract In this paper we present a finite volume method for a two-dimensional Black-Scholes equation with stochastic volatility governing European option pricing. In this work, we first formulate the Black-Scholes equation with a tensor (or matrix) diffusion coefficient into a conversative form. We then present a finite volume method for the resulting equation, based on a fitting technique proposed for a one-dimensional Black-Scholes equation. We show that the method is monotone by proving that the system matrix of the discretized equation is an M-matrix. Numerical experiments, performed to demonstrate the usefulness of the method, will be presented.
    Advisory Committee
  • Tzon-Tzer Lu - chair
  • Zi-Cai Li - co-chair
  • Mei-Hui Guo - co-chair
  • Chien-Sen Huang - advisor
  • Files
  • etd-0705104-120606.pdf
  • indicate access worldwide
    Date of Submission 2004-07-05

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys