Browsing NTNU Open by Author "Bruun, Frida Marie Eidsæther"
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Spectral Approximation of European and American Option Pricing Problems
Bruun, Frida Marie Eidsæther (Master thesis, 2018)In this thesis, properties of spectral methods applied to option pricing problems are inves-tigated. The Legendre Galerkin method with numerical integration is applied to Europeanand American option pricing problems under ...