Numerical methods for financial engineering

• المؤلف الرئيسي: Wu, Guan
• مؤلفون آخرون: Tan Eng Leong
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Business::Finance::Options; Engineering::Electrical and electronic engineering
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/149032
• المؤسسة: Nanyang Technological University

The pricing of options is part of core content of financial engineering. Black-Scholes-Merton model is the most classic model to solve option pricing with underlying assets of stocks. Finite difference method is widely used to solve partial differential equations. There are three goals of this pape...