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Document type:
Masterarbeit
Author(s):
Altemeyer, Raphael
Title:
FEM for 2D Heston’s Pricing PDE
Abstract:
In this thesis we price a Digital Double Barrier Basket option under the three-dimensional Black-Scholes model using the finite element method (FEM). We compute a benchmark solution for the FEM results with the Monte Carlo (MC) method. For each approach, we First explain the theory and then present our MATLAB implementation in detail. The implementation of the FEM is based on GeoPDEs, a suite of free software tools. We describe the structure of GeoPDEs as well as our o-scheme extension for...     »
Advisor:
Mirco Mahlstedt
Referee:
Prof. Dr. Kathrin Glau
Year:
2015
Language:
de
Language from translation:
de
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
End of processing:
30.09.2015
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