Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
A finite element approach to pricing Barrier options
Dissertation (MSc)--University of Pretoria, 2015.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2017
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613547361468416 |
|---|---|
| access_status_str | Open Access |
| author2 | Van Zyl, A.J. |
| author_browse | Van Zyl, A.J. |
| author_facet | Van Zyl, A.J. |
| collection | Thesis |
| dc_rights_str_mv | © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2015. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/60854 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:52.763Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/60854 A finite element approach to pricing Barrier options Van Zyl, A.J. u28124082@tuks.co.za Richards, Mark Timothy UCTD Dissertation (MSc)--University of Pretoria, 2015. In this dissertation we consider the valuation of discretely monitored barrier options under the in nite element method. The in nite element method is an extension to the standard nite element method that accepts problems with unbounded spacial domains (such as the Black-Scholes PDE), without resorting to domain truncation. The degeneracy of the Black-Scholes PDE when the underlying asset reaches zero, requires that the method be formulated within the context of weighted Sobolev spaces. We will demonstrate the convergence of the proposed method and provide a rigorous investigation into the underlying weighted Sobolev spaces in which the convergence is to be demonstrated. Mathematics and Applied Mathematics MSc Unrestricted 2017-06-05T12:12:13Z 2017-06-05T12:12:13Z 2017-04-21 2015 Dissertation Richards, MT 2015, A finite element approach to pricing Barrier options, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/60854> A2017 http://hdl.handle.net/2263/60854 en © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD A finite element approach to pricing Barrier options |
| title | A finite element approach to pricing Barrier options |
| title_full | A finite element approach to pricing Barrier options |
| title_fullStr | A finite element approach to pricing Barrier options |
| title_full_unstemmed | A finite element approach to pricing Barrier options |
| title_short | A finite element approach to pricing Barrier options |
| title_sort | finite element approach to pricing barrier options |
| topic | UCTD |
| url | http://hdl.handle.net/2263/60854 |