Temporal and Spatial Analysis of the Black-Scholes Equation for Option Pricing

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dc.contributor.author Agana, Francis
dc.date.accessioned 2018-02-12T11:17:29Z
dc.date.available 2018-02-12T11:17:29Z
dc.date.issued 2018-02-12
dc.identifier.uri http://hdl.handle.net/123456789/4038
dc.description Master of Science in Mathematics(Finance Option) en_US
dc.description.abstract Options are very important nancial instruments and, like any other its kind, require very accurate quantitative models in order to serve its usefulness. The Black-Scholes model provides a good option pricing formula in a given market setting. In this work, we quantify the e ects of the assumptions of the Black-Schole's nancial market on their pricing formula. We expand their model by relaxing these assumptions and derive an option pricing formula in a more realistic nancial environment. This requires the introduction of a new hedging strategy and the remodeling of stock prices and therefore the market volatility in the Black-Scholes pricing formula to re ect some activities and consequences of modern exchanges or trading markets. This work is organized such that the numerical treatment of the Black-Scholes' classical linear option pricing model is considered, followed by the derivation of an option pricing equation based on the relaxation of Black-Scholes market assumptions and then, the presentation of a numerical solution of the resulting nonlinear and generalized Black-Scholes model. en_US
dc.language.iso en en_US
dc.publisher JKUAT-PAUSTI en_US
dc.subject Spatial Analysis en_US
dc.subject Black-Scholes Equation en_US
dc.subject Option Pricing en_US
dc.title Temporal and Spatial Analysis of the Black-Scholes Equation for Option Pricing en_US
dc.type Thesis en_US

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