Add to ORKGThis thesis mainly focuses on analyzing and pricing European swaption via Crank{Nicolson Finite Dierence method. This paper begins with some rather common instruments, denitions and valuations are also provided. MATLAB is the main computer language used throughout this paper, for the numerical examples, the MATLAB codes are also provide in the appendix in order for reader to reproduce the result. Also, the paper extends to price cancellable swap in the end
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In this thesis we focus mainly on special finite differences and finite volume methods and apply the...
Due to the interesting financial moment we are living, my motivations to write this Master thesis ha...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
Thesis (MSc (Risk Analysis))--North-West University, Potchefstroom Campus, 2013.Credit default swapt...
We propose new lower and upper bounds on the prices of european-style swaptions for a wide class of ...
In this paper we outline the European interest rate swaption pricing formula from first principles u...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
In this thesis we price a swaption, an interest rate derivative, under the Hull-White one factor mod...
In this thesis work, the Leland model for pricing of European options is studied. Firstly, the deriv...
This paper presents finite difference methods for options pricing. These methods are useful to solve...
In this paper, we analize a novel approach for calibrating the one-factor and the two-factor Hull-Wh...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
MasterIn this paper, we discuss about PIDE for Kou’s and Merton’s Jump-diffusion models to calculate...
This thesis proposes and studies numerical methods for pricing high-dimensional American options; im...
AbstractWe propose a general framework for efficient pricing via a Partial Differential Equation (PD...
In this thesis we focus mainly on special finite differences and finite volume methods and apply the...
Due to the interesting financial moment we are living, my motivations to write this Master thesis ha...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
Thesis (MSc (Risk Analysis))--North-West University, Potchefstroom Campus, 2013.Credit default swapt...
We propose new lower and upper bounds on the prices of european-style swaptions for a wide class of ...
In this paper we outline the European interest rate swaption pricing formula from first principles u...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
In this thesis we price a swaption, an interest rate derivative, under the Hull-White one factor mod...
In this thesis work, the Leland model for pricing of European options is studied. Firstly, the deriv...
This paper presents finite difference methods for options pricing. These methods are useful to solve...
In this paper, we analize a novel approach for calibrating the one-factor and the two-factor Hull-Wh...
A Cross Currency European Swaption is a European Swaption to enter into a swap to exchange cash flow...
MasterIn this paper, we discuss about PIDE for Kou’s and Merton’s Jump-diffusion models to calculate...
This thesis proposes and studies numerical methods for pricing high-dimensional American options; im...
AbstractWe propose a general framework for efficient pricing via a Partial Differential Equation (PD...
In this thesis we focus mainly on special finite differences and finite volume methods and apply the...