Using POD methods for Option Pricing with Diffusion Models

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SCHNELL, Elena, 2015. Using POD methods for Option Pricing with Diffusion Models

@mastersthesis{Schnell2015Using-34767, title={Using POD methods for Option Pricing with Diffusion Models}, year={2015}, address={Konstanz}, school={Univ.}, author={Schnell, Elena}, note={Masterarbeit} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/34767"> <dc:creator>Schnell, Elena</dc:creator> <dc:language>eng</dc:language> <dcterms:issued>2015</dcterms:issued> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/34767"/> <dcterms:rights rdf:resource="http://nbn-resolving.de/urn:nbn:de:bsz:352-20150914100631302-4485392-8"/> <dcterms:title>Using POD methods for Option Pricing with Diffusion Models</dcterms:title> <dc:contributor>Schnell, Elena</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-07-13T09:02:52Z</dc:date> <dcterms:abstract xml:lang="eng">This thesis deals with the numerical solution of a jump-diffusion model equipped with a local volatility function used in option pricing. Numerical results using a preconditioned GMRES algorithm are presented. For the calibration problem POD is applied. An outlook to the treatment of random input data is given: a greedy algorithm.</dcterms:abstract> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-07-13T09:02:52Z</dcterms:available> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 13.07.2016 (Informationen über die Zugriffsstatistik)

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