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A survey of computational methods for pricing Asian options
Thesis (MSc (Mathematical Sciences. Applied Mathematics))--University of Stellenbosch, 2009.
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| Format: | Thesis |
| Language: | English |
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Stellenbosch : University of Stellenbosch
2009
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| _version_ | 1867614082499084288 |
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| access_status_str | Open Access |
| author | Nieuwveldt, Fernando Damian |
| author2 | Weideman, J. A. C. |
| author_browse | Nieuwveldt, Fernando Damian Weideman, J. A. C. |
| author_facet | Weideman, J. A. C. Nieuwveldt, Fernando Damian |
| author_sort | Nieuwveldt, Fernando Damian |
| collection | Thesis |
| dc_rights_str_mv | University of Stellenbosch |
| description | Thesis (MSc (Mathematical Sciences. Applied Mathematics))--University of Stellenbosch, 2009. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/2118 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:46:22.874Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2009 |
| publishDateRange | 2009 |
| publishDateSort | 2009 |
| publisher | Stellenbosch : University of Stellenbosch |
| publisherStr | Stellenbosch : University of Stellenbosch |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/2118 A survey of computational methods for pricing Asian options Nieuwveldt, Fernando Damian Weideman, J. A. C. Roux, A. University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences. Applied Mathematics. Dissertations -- Applied mathematics Theses -- Applied mathematics Pricing Options (Finance) Laplace transformation Thesis (MSc (Mathematical Sciences. Applied Mathematics))--University of Stellenbosch, 2009. In this thesis, we investigate two numerical methods to price nancial options. We look at two types of options, namely European options and Asian options. The numerical methods we use are the nite di erence method and numerical inversion of the Laplace transform. We apply nite di erence methods to partial di erential equations with both uniform and non-uniform spatial grids. The Laplace inversion method we use is due to Talbot. It is based on the midpoint-type approximation of the Bromwich integral on a deformed contour. When applied to Asian options, we have the problem of computing the hypergeometric function of the rst kind. We propose a new method for numerically calculating the hypergeometric function. This method too is based on using Talbot contours. Throughout the thesis, we use the Black-Scholes equation as our benchmark problem. 2009-03-03T13:53:26Z 2010-06-01T08:40:50Z 2009-03-03T13:53:26Z 2010-06-01T08:40:50Z 2009-03 Thesis http://hdl.handle.net/10019.1/2118 en University of Stellenbosch application/pdf Stellenbosch : University of Stellenbosch |
| spellingShingle | Dissertations -- Applied mathematics Theses -- Applied mathematics Pricing Options (Finance) Laplace transformation Nieuwveldt, Fernando Damian A survey of computational methods for pricing Asian options |
| title | A survey of computational methods for pricing Asian options |
| title_full | A survey of computational methods for pricing Asian options |
| title_fullStr | A survey of computational methods for pricing Asian options |
| title_full_unstemmed | A survey of computational methods for pricing Asian options |
| title_short | A survey of computational methods for pricing Asian options |
| title_sort | survey of computational methods for pricing asian options |
| topic | Dissertations -- Applied mathematics Theses -- Applied mathematics Pricing Options (Finance) Laplace transformation |
| url | http://hdl.handle.net/10019.1/2118 |
| work_keys_str_mv | AT nieuwveldtfernandodamian asurveyofcomputationalmethodsforpricingasianoptions AT nieuwveldtfernandodamian surveyofcomputationalmethodsforpricingasianoptions |