Efficient Numerical Solution of PIDEs in Option Pricing Efficient Numerical Solution of PIDEs in Option Pricing
نویسندگان
چکیده
The estimation of the price of different kinds of options plays a very important role in the development of strategies on financial and stock markets. There many books and various papers which are devoted to the exist mathematical theory of option pricing. Merton and Scholes became winners of a Nobel Prize in economy who described the basic concepts of the mathematical theory development. In this thesis a review of the basic numerical methods for option pricing including the treatment of jumps is given. These methods are compared and numerical results are presented.
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