Browsing NTNU Open by Author "Johnsen, Håkon Berg"
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Numerical solution of non-local PDEs arising in Finance.
Johnsen, Håkon Berg (Master thesis, 2009)It is a well known fact that the value of an option on an asset following a Levy jump-process, can be found by solving a Partial Integro-Differential Equation (PIDE). In this project, two new schemes are presented to solve ...