Blar i NTNU Open på forfatter "Neset, Yngvild"
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Spectral Discretizations of Option Pricing Models for European Put Options
Neset, Yngvild (Master thesis, 2014)The aim of this thesis is to solve option pricing models efficiently by using spectral methods. The option pricing models that will be solved are the Black-Scholes model and Heston's stochastic volatility model. We will ...