Views provided by UsageCountsPartial differential equations in finance : The case of The American Option
Elson, Thomas Alain Christopher;
Partial differential equations in finance : The case of The American Option
This work introduces the well known Black-Scholes partial differential equation. Namely,the focus is on its application on assessing the value of American options. This is an important topic in finance, as researchers are still looking for time efficient methods tovalue certain types of options. Three different numerical methods will be explained and studied: the explicit method, the operator splitting method, as well a the penalty method. A case study was also carried out in order to motivate the importance of knowing the value of our options. Having a solid understanding of the mathematics behind stock options and the way they fluctuate is essential to prevent ourselves from financial losses.
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Difference equations, Classificació AMS::65 Numerical analysis::65N Partial differential equations, boundary value problems, Options, Àrees temàtiques de la UPC::Matemàtiques i estadística::Anàlisi numèrica, Difference equations, Partial--Numerical solutions, Classificació AMS::65 Numerical analysis::65N Partial differential equations, boundary value problems, :65 Numerical analysis::65N Partial differential equations, boundary value problems [Classificació AMS], American put option, Equacions diferencials parcials--solucions numèriques, Partial--Numerical solutions, :Matemàtiques i estadística::Anàlisi numèrica [Àrees temàtiques de la UPC], Black-Scholes, Numerical study, Finance
Difference equations, Classificació AMS::65 Numerical analysis::65N Partial differential equations, boundary value problems, Options, Àrees temàtiques de la UPC::Matemàtiques i estadística::Anàlisi numèrica, Difference equations, Partial--Numerical solutions, Classificació AMS::65 Numerical analysis::65N Partial differential equations, boundary value problems, :65 Numerical analysis::65N Partial differential equations, boundary value problems [Classificació AMS], American put option, Equacions diferencials parcials--solucions numèriques, Partial--Numerical solutions, :Matemàtiques i estadística::Anàlisi numèrica [Àrees temàtiques de la UPC], Black-Scholes, Numerical study, Finance
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This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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