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Pricing turbo warrants
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Scientific Computing. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Numerical Analysis. (ndim)
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Applied Mathematics.
2006 (English)Report (Other academic)
Place, publisher, year, edition, pages
2006.
Series
Technical report / Department of Information Technology, Uppsala University, ISSN 1404-3203 ; 2006-015
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-78924OAI: oai:DiVA.org:uu-78924DiVA: diva2:106837
Available from: 2007-09-18 Created: 2007-09-18 Last updated: 2011-11-18Bibliographically approved
In thesis
1. Accurate Finite Difference Methods for Option Pricing
Open this publication in new window or tab >>Accurate Finite Difference Methods for Option Pricing
2006 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. For American options we use the adaptive technique to price options on one stock with and without stochastic volatility. In all these methods emphasis is put on the control of errors to fulfill predefined tolerance levels. The adaptive second order method is compared to an alternative discretization technique using radial basis functions. This method is not adaptive but shows potential in option pricing for one and several underlying assets. A finite difference method and a Monte Carlo method are applied to a new financial contract called Turbo warrant. A comparison of these two methods shows that for the case considered the finite difference method is superior.

Place, publisher, year, edition, pages
Uppsala: Acta Universitatis Upsaliensis, 2006. 70 p.
Series
Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Science and Technology, ISSN 1651-6214 ; 206
Keyword
Finite differences, Option pricing, Adaptive methods
National Category
Computational Mathematics
Research subject
Numerical Analysis
Identifiers
urn:nbn:se:uu:diva-7097 (URN)91-554-6627-3 (ISBN)
Public defence
2006-09-29, Room 2446, Polacksbacken, Lägerhyddsvägen 2D, Uppsala, 10:15 (English)
Opponent
Supervisors
Available from: 2006-09-08 Created: 2006-09-08 Last updated: 2011-10-27Bibliographically approved

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Persson, Jonas

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