On a High Order Numerical Method for Mathematical Models in Financial Engineering
Date Issued
2012
Date
2012
Author(s)
Chen, You-Gang
Abstract
The aim of this thesis is to address some mathematical issues on the application of
pseudo spectral method on several important models in financial engineering, such as
scope of application, speed of convergence, numerical stability, etc. This method has
been proven superior with respect to the traditional ones especially for problems with
special boundary conditions.
Subjects
Spectral method
orthogonal basis function
quadrature rule
Black-Scholes equation
partial integro-differential equation
free boundary condition
Type
thesis
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